Search for dissertations about: "Nonlinear causality testing"

Found 4 swedish dissertations containing the words Nonlinear causality testing.

  2. 1. Nonlinear and Nonparametric Dynamical Methods in Economics and Finance

    Author : Gazi Salah Uddin; Bo Sjö; Ramo Gencay; Linköpings universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Commodity markets; Nonlinear causality testing; Dependence structure; Business cycles; Timescale analysis; Growth dynamics; Portfolio management;

    Abstract : The objectives of the thesis - which comprises six parts – can be summarized in i) implementing linear and nonlinear/nonparametric approaches toward detecting, measuring and analyzing the nature and directionality of causal relationships in financial markets, ii) elaborating on modern topics in financial investment analysis, iii) probing into the role of commodity futures in constructing optimal portfolios as well as iv) investigating growth dynamics via aggregated and disaggregated indices.The first paper named “Analyzing causal interactions between sectoral equity returns and commodity futures returns in the aftermath of the global financial crisis: The case of the US and EU equity returns”, aims to explore and compare the dependence and co-movement structure between commodity and various asset classes’ returns including the USA and EU stock markets via the use of linear and non-linear causality testing in a comparative context with the additional adjustment for cointegration and conditional heteroscedasticity. READ MORE

  4. 2. Essays on nonlinear time series modelling och hypothesis testing

    Author : Birgit Strikholm; Handelshögskolan i Stockholm; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : There seems to be a common understanding nowadays that the economy is nonlinear. Economic theory suggests features that can not be incorporated into linear frameworks, and over the decades a solid body of empirical evidence of nonlinearities in economic time series has been gathered. READ MORE

  5. 3. Three Essays on Electricity Spot and Financial Derivative Prices at the Nordic Power Exchange

    Author : Daniel Deng; Göteborgs universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nord Pool; market efficiency; cointegration; rational expectation competitive storage model; BDS test; Hsiehâ??s third order moment test; nonlinear causality; EGARCH; convenience yield; call option;

    Abstract : Essay I examines the market efficiency issues at the Nord Pool power exchange in the September 1995 - July 2002 period. A unique characteristic of this electricity exchange is the high hydropower proportion in the traded electricity; water in the hydro reservoir acting as hydropower inventory therefore plays an important role in the pricing of electricity. READ MORE

  6. 4. Essays on statistical testing using Wavelet methodologies

    Author : Yushu Li; Ghazi Shukur; Håkan Locking; Golam B. M. Kibria; Linnéuniversitetet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; Nationalekonomi;

    Abstract : This thesis consists of five essays on the application of wavelet methodology to different tests in time series analysis. Essay I proposes a nonlinear Dickey-Fuller F test for unit roots against the first order Logistic Smooth Transition Autoregressive LSTAR (1) model. READ MORE