نتایج جستجو برای: keywords cointegration techniques
تعداد نتایج: 2515828 فیلتر نتایج به سال:
Abstract “Queer” is a relatively recent and somewhat controversial term in African studies. Yet it proving to be productive, not only for understanding subjectivities of sexuality gender, but also situating Africa’s position the larger economy knowledge. Otu van Klinken explore productive tensions between “queer” “Africa,” aim read Africa as queer from Africa. Thus, rather than imagining polar ...
This paper studies asymptotic and finite sample properties of statistics devised to test for the null of no cointegration in nonstationary pooled time series panels as both the cross section and time series dimensions grow large. The paper finds that for panels with homogenous long run parameters, the spurious regression coefficient estimates become consistent even under the null of no cointegr...
Improving Co-integration Trading Rule Profitability with Forecasts from an Artificial Neural Network
Co-integration models the long-term, equilibrium relationship of two or more related financial variables. Even if cointegration is found, in the short run, there may be deviations from the long run equilibrium relationship. The aim of this work is to forecast these deviations using neural networks and create a trading strategy based on them. A case study is used: co-integration residuals from A...
This paper focuses on sovereign credit risk meaning a hot topic related to the current Eurozone crisis. In the light of the recent financial crisis, market perception of the creditworthiness of individual sovereigns has changed significantly. Before the outbreak of the financial crisis, market participants did not differentiate between credit risk born by individual states despite different lev...
Improving Co-integration Trading Rule Profitability with Forecasts from an Artificial Neural Network
Co-integration models the long-term, equilibrium relationship of two or more related financial variables. Even if cointegration is found, in the short run, there may be deviations from the long run equilibrium relationship. The aim of this work is to forecast these deviations using neural networks and create a trading strategy based on them. A case study is used: co-integration residuals from A...
This study examines causal link between energy use and economic growth for five South Asian countries over period 1971-2006. Panel cointegration, ECM and FMOLS are applied for short and long run estimates. In short run unidirectional causality from per capita GDP to per capita energy consumption is found, but not vice versa. In long run one percent increase in per capita energy consumption tend...
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