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Clements, Michael P. "Cointegration and dynamic econometric modelling". Thesis, University of Oxford, 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.334980.
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Bowsher, Clive G. "Papers in multivariate dynamic econometric modelling". Thesis, University of Oxford, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.413018.
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Arbeleche, Grela Santiago. "Econometric modelling for global asset management". Thesis, University of Cambridge, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.616219.
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Virbukaitė, Laura. "Econometric Modelling and Forecasting Company's FCF Components". Master's thesis, Lithuanian Academic Libraries Network (LABT), 2010. http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2010~D_20100621_095233-72130.
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The aim of the study is to verify a hypothesis, whether a company’s financial statement items can be modelled using econometric techniques incorporating accounting and macroeconomic variables. For the modelling and forecasting are selected items, necessary to calculate a company’s free cash flow (FCF) of four Lithuanian companies: telecommunication provider TEO LT, cheese manufacturer Rokiškio sūris, producer of household refrigerators Snaigė and distributor and supplier of electric energy VST. From their financial statements are taken such items as operating profit, current assets and current liabilities, long - term assets and long - term liabilities, and modeled as endogenous variables. Two types of exogenous variables are used: accounting variables (revenues and various types of expenditures) and macroeconomic variables (interest rates, disposable income or net earnings, growth of gross domestic product, country’s export, foreign direct investment and inflation). Initial econometric analysis of the variables includes verification of seasonality and stationarity according to the time series graphs and unit - root tests as well as correlation and causality analysis using cross - correlation matrices and Granger causality tests. For the modelling are selected two types of econometric methods: structural simultaneous - equations models (SEM), estimating them using two - stage least squares technique, and vector autoregression (VAR) models. After estimation of the models... [to full text]Darbo tikslas yra patikrinti hipotezę, ar įmonės finansinės atskaitomybės straipsniai gali būti modeliuojami naudojant ekonometrinius metodus įtraukiant apskaitos ir makroekonominius kintamuosius. Modeliavimui ir prognozavimui yra pasirinkti įmonės laisvam pinigų srautui (angl. free cash flow, FCF) apskaičiuoti reikalingi straipsniai ir keturios Lietuvos įmonės: telekomunikacijų paslaugų teikėja „TEO LT“, sūrių gamybos įmonė „Rokiškio sūris“, buitinių šaldytuvų gamintoja „Snaigė“ bei elektros energijos skirstytoja ir tiekėja VST. Iš šių bendrovių finansinių atskaitomybių yra paimti tokie straipsniai, kaip veiklos pelnas, trumpalaikis turtas ir trumpalaikiai įsipareigojimai, ilgalaikis turtas ir ilgalaikiai įsipareigojimai. Šie rodikliai yra modeliuojami kaip endogeniniai kintamieji. Modeliuojant naudojami egzogeniniai kintamieji yra dviejų tipų: apskaitos kintamieji (pardavimai ir įvairios sąnaudos) bei makroekonominiai kintamieji (palūkanų normos, disponuojamos pajamos, neto darbo užmokestis, bendrojo vidaus produkto augimas, šalies eksportas, tiesioginės užsienio investicijos ir infliacija). Pradinė ekonometrinė kintamųjų analizė apima sezoniškumo ir stacionarumo tikrinimą pagal laiko eilučių grafikus ir vienetinės šaknies testus bei koreliacijų ir priežastingumo analizę, naudojant kryžmines koreliacijas ir Granger priežastingumo testus. Modeliavimui yra pasirinkti du ekonometriniai metodai: struktūrinių vienalaikių lygčių modeliai (angl. structural simultaneous – equation... [toliau žr. visą tekstą]
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Iacopini, Matteo. "Essays on econometric modelling of temporal networks". Thesis, Paris 1, 2018. http://www.theses.fr/2018PA01E058/document.
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La théorie des graphes a longtemps été étudiée en mathématiques et en probabilité en tant qu’outil pour décrire la dépendance entre les nœuds. Cependant, ce n’est que récemment qu’elle a été mise en œuvre sur des données, donnant naissance à l’analyse statistique des réseaux réels.La topologie des réseaux économiques et financiers est remarquablement complexe: elle n’est généralement pas observée, et elle nécessite ainsi des procédures inférentielles adéquates pour son estimation, d’ailleurs non seulement les nœuds, mais la structure de la dépendance elle-même évolue dans le temps. Des outils statistiques et économétriques pour modéliser la dynamique de changement de la structure du réseau font défaut, malgré leurs besoins croissants dans plusieurs domaines de recherche. En même temps, avec le début de l’ère des “Big data”, la taille des ensembles de données disponibles devient de plus en plus élevée et leur structure interne devient de plus en plus complexe, entravant les processus inférentiels traditionnels dans plusieurs cas. Cette thèse a pour but de contribuer à ce nouveau champ littéraire qui associe probabilités, économie, physique et sociologie en proposant de nouvelles méthodologies statistiques et économétriques pour l’étude de l’évolution temporelle des structures en réseau de moyenne et haute dimensionGraph theory has long been studied in mathematics and probability as a tool for describing dependence between nodes. However, only recently it has been implemented on data, giving birth to the statistical analysis of real networks.The topology of economic and financial networks is remarkably complex: it is generally unobserved, thus requiring adequate inferential procedures for it estimation, moreover not only the nodes, but the structure of dependence itself evolves over time. Statistical and econometric tools for modelling the dynamics of change of the network structure are lacking, despite their increasing requirement in several fields of research. At the same time, with the beginning of the era of “Big data” the size of available datasets is becoming increasingly high and their internal structure is growing in complexity, hampering traditional inferential processes in multiple cases.This thesis aims at contributing to this newborn field of literature which joins probability, economics, physics and sociology by proposing novel statistical and econometric methodologies for the study of the temporal evolution of network structures of medium-high dimension
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Hweta, A. M. "Modelling the U.S. pear industry". Thesis, University of Reading, 1985. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.354082.
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Angelov, Nikolay. "Essays on unit-root testing and on discrete-response modelling of firm mergers /". Uppsala : Department of Economics, Uppsala University, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-6358.
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Lips, Johannes [Verfasser]. "Econometric Modelling of Energy & Financial Markets / Johannes Lips". Gießen : Universitätsbibliothek, 2019. http://d-nb.info/1199811742/34.
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Orme, Christopher David. "Misspecification and inferance in micro-econometrics". Thesis, University of York, 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.329851.
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Hall, A. "Estimation and inference in simultaneous equation models". Thesis, University of Warwick, 1985. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.356473.
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Amado, Cristina. "Four essays on the econometric modelling of volatility and durations". Doctoral thesis, Handelshögskolan i Stockholm, Ekonomisk Statistik (ES), 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-1325.
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The thesis "Four Essays on the Econometric Modelling of Volatility and Durations" consists of four research papers in the area of financial econometrics on topics of the modelling of financial market volatility and the econometrics of ultra-high-frequency data. The aim of the thesis is to develop new econometric methods for modelling and hypothesis testing in these areas. The second chapter introduces a new model, the time-varying GARCH (TV-GARCH) model, in which volatility has a smooth time-varying structure of either additive or multiplicative type. To characterize smooth changes in the (un)conditional variance we assume that the parameters vary smoothly over time according to the logistic transition function. A data-based modelling technique is used for specifying the parametric structure of the TV-GARCH models. This is done by testing a sequence of hypotheses by Lagrange multiplier tests presented in the chapter. Misspecification tests are also provided for evaluating the adequacy of the estimated model. The third chapter addresses the issue of modelling deterministic changes in the unconditional variance over a long return series. The modelling strategy is illustrated with an application to the daily returns of the Dow Jones Industrial Average (DJIA) index from 1920 until 2003. The empirical results sustain the hypothesis that the assumption of constancy of the unconditional variance is not adequate over long return series and indicate that deterministic changes in the unconditional variance may be associated with macroeconomic factors. In the fourth chapter we propose an extension of the univariate multiplicative TV-GARCH model to the multivariate Conditional Correlation GARCH (CC-GARCH) framework. The variance equations are parameterized such that they combine the long-run and the short-run dynamic behaviour of the volatilities. In this framework, the long-run behaviour is described by the individual unconditional variances, and it is allowed to vary smoothly over time according to the logistic transition function. The effects of modelling the nonstationary variance component are examined empirically in several CC-GARCH models using pairs of seven daily stock return series from the S&P 500 index. The results show that the magnitude of such effect varies across different stock series and depends on the structure of the conditional correlation matrix. An important feature of financial durations is the evidence of a strong diurnal variation over the trading day. In the fifth chapter we propose a new parameterization for describing the diurnal pattern of trading activity. The parametric structure of the diurnal component allows the duration process to change smoothly over the time-of-day according to the logistic transition function. The empirical results suggest that the diurnal variation may not always have the inverted U-shaped pattern for the trade durations as documented in earlier studies.
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Kurita, Takamitsu. "Econometric modelling using I(1) and I(2) cointegration analysis". Thesis, University of Oxford, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.433371.
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Bulli, Sandra. "The dynamics of growth : econometric modelling and implications for employment". Thesis, London School of Economics and Political Science (University of London), 2004. http://etheses.lse.ac.uk/2302/.
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This thesis presents the author's work in two parts. Part I contains two studies of the modelling of growth and convergence, Part II examines empirical issues regarding the determinants of labour market outcomes. In Chapter 1 we tackle and solve a methodological issue in the application of the distribution dynamics method for studying the evolution in time of an entire cross section distribution. The problem of discretisation of a continuous state space Markov process is solved by employing a new method proposed in the statistical literature. The method is applied to the distribution of per capita income across countries and the (non-) convergence phenomenon is reassessed. In Chapter 2 we model the evolution of per capita incomes across countries as a semi-markov process, with variable sojourn times between states. We uncover asymmetries in the distribution of transition times and find very low persistence of income dynamics, especially in the high portion of the income distribution. In Chapter 3 we investigate the existence of a long run equilibrium relationship between unemployment and a set of labour market institutional variables by means of newly developed panel unit root and cointegration models. We find that these variables are integrated of order one and cointegrated. We estimate the long run effects of institutions on unemployment. In Chapter 4 we estimate a model of equilibrium employment with endogenous technological progress. Innovation arises as a consequence of investment in research and development and impacts on job creation and job destruction. We find that technological progress increases unemployment on impact, but has a positive long run effect on job creation.
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Pretis, Felix. "Econometric methods and applications in modelling non-stationary climate data". Thesis, University of Oxford, 2015. http://ora.ox.ac.uk/objects/uuid:f4c9122b-5270-4b55-a292-2cdf10ad7f2a.
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Understanding of climate change and policy responses thereto rely on accurate measurements as well as models of both socio-economic and physical processes. However, data to assess impacts and establish historical climate records are non-stationary: distributions shift over time due to shocks, measurement changes, and stochastic trends - all of which invalidate standard statistical inference. This thesis establishes econometric methods to model non-stationary climate data consistent with known physical laws, enabling joint estimation and testing, develops techniques for the automatic detection of structural breaks, and evaluates socio-economic scenarios used in long-run climate projections. Econometric cointegration analysis can be used to overcome inferential difficulties stemming from stochastic trends in time series, however, cointegration has been criticised in climate research for lacking a physical justification for its use. I show that physical two-component energy balance models of global mean climate can be mapped to a cointegrated system, making them directly testable, and thereby provide a physical justification for econometric methods in climate research. Automatic model selection with more variables than observations is introduced in modelling concentrations of atmospheric CO2, while controlling for outliers and breaks at any point in the sample using impulse indicator saturation. Without imposing the inclusion of variables a-priori, model selection results find that vegetation, temperature and other natural factors alone cannot explain the trend or the variation in CO2 growth. Industrial production components, driven by business cycles and economic shocks, are highly significant contributors. Generalizing the principle of indicator saturation, I present a methodology to detect structural breaks at any point in a time series using designed functions. Selecting over these break functions at every point in time using a general-to-specific algorithm, yields unbiased estimates of the break date and magnitude. Analytical derivations for the split-sample approach are provided under the null of no breaks and the alternative of one or more breaks. The methodology is demonstrated by detecting volcanic eruptions in a time series of Northern Hemisphere mean temperature derived from a coupled climate simulation spanning close to 1200 years. All climate models require socio-economic projections to make statements about future climate change. The large span of projected temperature changes then originates predominantly from the wide range of scenarios, rather than uncertainty in climate models themselves. For the first time, observations over two decades are available against which the first sets of socio-economic scenarios used in the Intergovernmental Panel on Climate Change reports can be assessed. The results show that the growth rate in fossil fuel CO2 emission intensity (fossil fuel CO2 emissions per GDP) over the 2000s exceeds all main scenario values, with the discrepancy being driven by underprediction of high growth rates in Asia. This underestimation of emission intensity raises concerns about achieving a world of economic prosperity in an environmentally sustainable fashion.
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Pourkermani, Kasra. "Essays on the econometric modelling and forecasting of shipping market variables". Thesis, University of Newcastle Upon Tyne, 2012. http://hdl.handle.net/10443/1471.
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This thesis uses econometric modelling and forecasting to investigate a number of important topics associated with economic and financial aspects of the global shipping market. The thesis is made up of five chapters. Chapter 1 introduces the structure of the shipping market; it covers a wide range of topics, including the shipping sub-markets, shipping stock and shipping market information. It introduces the different types of freight rates involved, and discusses the economics behind the formation of spot and time-charter freight rates. It also introduces the new-build ship market and explains some of the different shipbuilding models. In addition, it discusses the market for second-hand ships. Finally, it reports and discusses the correlations of different shipping variables with each other and with the S&P500 stock market index. Chapter 2 focuses on forecasting the freight rate for ship operators. Since time-charter rates depend on market participants’ expectations about future spot rates, under market efficiency the ship operator should not be able to make abnormal profits by choosing a specific chartering strategy. The chapter investigates whether this is true by exploring the economic value of freight rate forecasts, using a regression-based recursive switching approach based on two sets of macroeconomic and commodity data. The ship operator is assumed to allocate the ship between a trip-charter and time-charter market according to forecasts of the quarterly excess freight rate. The Handymax and Capesize classes of ship are analysed, the analysis showing that this type of investment strategy does not generate significantly abnormal profits for the Handymax class, but does for the Capesize class. Forecasting with commodity variables is more profitable than forecasting with macroeconomic variables. Chapter 3 quantifies and discusses the volatility of index returns in the dry bulk freight rate market for freight traders and investors. The daily freight rate indexes of three ship classes, Baltic dry index (BDI), Baltic Panamax index (BPI) and Baltic Capesize index (BCI) from 14 January 2000 to 14 January 2010 are analysed. Some of the findings from applying variations of autoregressive conditional heteroskedasticity (ARCH) models suggest that the volatility of shocks is very persistent and that a unit root might exist in the conditional variance. No evidence of any asymmetry in the conditional variance is found. Volatility forecasting for one day ahead and multiple days ahead is also performed using a variety of ARCH models. At the end of the chapter the risk exposure of the freight rate index is assessed using the Value at Risk (VaR) technique. In Chapter 4 it is argued that if risk premiums are time-varying and correlated with macroeconomic variables, macroeconomic variables might have forecasting power for shipping stock returns. This issue is investigated using the recursive regression-based approach of Pesaran and Timmermann (1995) and it is concluded that allowing for different combinations of macroeconomic variables generally does not help forecasting. This may be because the model selection criteria do not seem to work efficiently when there is a structural break in the data. The model which includes all variables (AV) is found to be the best performing model. A data set is employed which includes four shipping stocks and the S&P500 index for comparison, and this shows that a trading strategy using the AV model generates 93% to 500% more wealth than a buy-and-hold strategy. When the explanatory variables are analysed individually, the US Treasury bill and NYMEX oil price are shown to have the most forecasting power. Chapter 5 concludes the thesis. It presents a review of the original findings and puts forward recommendations for future research.
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Hillman, Robert J. T. "Econometric modelling of nonlinearity and nonstationarity in the foreign exchange market". Thesis, University of Southampton, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.264846.
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Beyer, Andreas H. "Monetary transmission mechanisms and central bank policy : essays in econometric modelling". Thesis, University of Southampton, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.262907.
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Aristidou, Chrystalleni. "Issues in the accommodation of model uncertainty in macro-econometric modelling". Thesis, University of Nottingham, 2016. http://eprints.nottingham.ac.uk/36130/.
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This thesis deals with different types of uncertainty in various macroeconomic contexts and investigates ways in which these can be accommodated by adopting flexible techniques that allow a robust inference in estimation, testing and prediction. This thesis covers a wide range of aspects in macroeconomic analysis, including the choice of an appropriate unit root test, inference when the presence of breaks and the autocorrelation properties of data are unknown, characterisation of inflation dynamics when structural and specification uncertainty are present, as well as model uncertainty in forecasting when real-time data are available. Chapter 1 presents the general motivations and describes the main research objectives and methodology for each chapter, providing a thesis outline at the same time. Chapter 2 examines the behaviour of OLS-demeaned/ detrended and GLS-demeaned/ detrended unit root tests that employ stationary covariates in situations where the magnitude of the initial condition of the time series under consideration may be nonnegligible. We show that the asymptotic power of such tests is very sensitive to the initial condition; OLS- and GLS- based tests achieve relatively high power for large and small magnitudes of the initial condition, respectively. Combining information from both types of test via a simple union of rejections strategy is shown to effectively capture the higher power available across all initial condition magnitudes. In Chapter 3, we consider a two-step procedure for estimating level break size(s) when the presence of the structural break(s) is uncertain and when the order of integration of the data is unknown. In other words, we deal with uncertainty over the appropriate filtering of the data, as well as structural uncertainty over the existence of a break. Our approach is motivated by the well known interplay between the unit roots and structural changes: Evidence in favour of unit roots can be a manifestation of structural changes and vice versa. The proposed procedure is shown to exhibit substantial accuracy gains in estimating the level break-size and breakpoint. Chapter 4 provides a characterisation of U.S. inflation dynamics within a generalised Phillips Curve framework that accommodates uncertainties about the duration a given Phillips Curve holds and the specification of the relationship, in addition to parameter and stochastic uncertainties accommodated within a typical Phillips Curve analysis. Our approach is based on an innovative method to deal with such uncertainties based on Bayesian model averaging techniques. Employing data for the U.S. in the period 1950q1- 2012q4, the estimated version of the "meta" Phillips Curve provides an interesting characterisation of inflation dynamics which is in accordance with a number of distinguished studies. Chapter 5 investigates the extent to which nowcast and forecast performance is enhanced by the use of real-time datasets that incorporate past data vintages and survey data on expectations in addition to the most recent data. The paper proposes a modelling framework and evaluation procedure which allow a real-time assessment and a final assessment of the use of revisions and survey data judged according to a variety of statistical and economic criteria. Both survey data and revisions data are found to be important in calculating density forecasts in forecasting the occurrence of business cycle events. Through a novel "fair bet" exercise, it is shown that models that incorporate survey and/or revisions data achieve higher profits in decision-making. The analysis also highlights the need to focus on future growth and inflation dynamics relevant to decision-makers rather than relying on simple point forecasts.
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Oduro, Samuel Dua. "Bayesian econometric modelling of informed trading, bid-ask spread and volatility". Thesis, University of Kent, 2016. https://kar.kent.ac.uk/61094/.
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Recent developments in global financial markets have increased the need for research aimed at the measurement and possible reduction of liquidity risk. In particular, market crashes have been partly blamed on the sudden withdrawal of liquidity in markets and increases in liquidity risk. To this end, it is important to develop better approaches for inferring or quantifying liquidity risk. Liquidity risk caused by some investors trading on their information advantage (informed trading) has been a subject of market microstructure research in the last few decades. Researchers have employed information-based models that use observed or inferred order flow to investigate this problem. The Probability of Informed Trading (PIN) is a measure which uses inferred order flow to quantify the extent information asymmetry. However, a number of computational issues have been reported to effect the estimation of PIN. Using an alternative methodology, we address the numerical problem associated with the estimation of PIN. Varied evidence of a relationship between volume and bid-ask spread has been documented in the extant literature. In particular, theory suggests that bid-ask spread and volume are jointly driven by a common process as both variables measure an aspect of liquidity. The complex relationship between these variables is time-varying since the informed trading component of order flow changes as trading takes place. Thus, volume and bid-ask spread may provide insight on the time-varying composition of economic agents trading an asset. We exploit the nonlinear relationship between traded volume and bid-ask spread to develop a model that can be used to infer informed and uninformed trading components of volume. The structure of the model and estimation methodology enhances the sequential processing and incorporation of past volume and bid-ask spread as conditioning information. The model is applied to two equities that trade on the New York Stock Exchange. Finally, to increase our understanding on the effects of liquidity risk on volatility, we also examine whether separating volume into informed and uninformed components can provide further insight on the relationship between liquidity risk and volatility.
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Lawford, Stephen Derek Charles. "Improved modelling in finite-sample and nonlinear frameworks". Thesis, University of York, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.341496.
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Akanbi, Olusegun Ayodele. "Macro-econometric modelling for the Nigerian economy : a growth-poverty gap analysis". Thesis, University of Pretoria, 2010. http://hdl.handle.net/2263/28187.
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This study develops comprehensive full-sector macro-econometric models for the Nigerian economy with the aim of explaining and providing a long-term solution for the persistent growth-poverty divergence experienced by the country. The models are applied to testing the hypothesis of existing structural supply-side constraints versus demand-side constraints impeding the growth and development of the country. Structural inadequacies have been the major setback to the achievement of the developmental objectives in the Nigerian economy. The last four decades has revealed several macroeconomic instabilities that hinder much improvement in the performance of the economy. Much of these structural inadequacies have been blamed on the persistent poor governance experienced by the country over the years. The poor political leadership and instability, corruption and the mismanagement of the oil resources have halted an appropriate and sound economic policy that should have alleviated poverty among the majority of the population. A review of the historical performance of the Nigerian economy reveals significant socio-economic constraints as the predominant impediments to high and sticky levels of poverty in the economy. As such, a model of the Nigerian economy suitable for policy analysis needs to capture the long-run supply-side characteristics of the economy. A price block is incorporated to specify the price adjustment between the production or supply-side sector and real aggregate demand sector. The institutional characteristics with associated policy behaviour are incorporated through a public and monetary sector, whereas the interaction with the rest of the world is presented by a foreign sector, with specific attention given to the oil sector. The models are estimated with time-series data from 1970 to 2006 using the Engle-Granger two-step cointegration technique, capturing both the long-run and short-run dynamic properties of the economy. The full-sector models are subjected to a series of policy scenarios to evaluate the various options for government. It is evident from the policy options assessed in this study that there is a need for an improvement in the quality of government spending. Fiscal policy expansion should tend towards increasing the component of government expenditure that will lead to sustained growth and also an improvement in the standard of living of the citizens. In order to be able to reap the benefits of a positive external shock, there is a need to increase the level of competitiveness and the productive capacity of the country. Investment in basic infrastructure such as power and roads is very crucial at this stage of the Nigerian economy. There is an urgent need to refocus the government role in certain critical areas of the economy. Government institutions need to be strengthened by improving the coordination that exists within the government structures. The political environment needs to be more secure in order to attract more private investment. The maintenance of public order, ensuring property rights, a sound regulatory structure and also creating a framework that will increase the provision of public goods and services and the maintenance of infrastructure are urgent elements required in order to achieve the set macroeconomic objectives.Thesis (PhD)--University of Pretoria, 2010.
Economics
unrestricted
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Barsoum, Fady [Verfasser]. "Econometric Modelling in a Mixed-Frequency and Data-Rich Environment / Fady Barsoum". Konstanz : Bibliothek der Universität Konstanz, 2016. http://d-nb.info/1112944699/34.
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Hoderlein, Stefan Georg Nicolas. "Econometric modelling of heterogeneous consumer behaviour : theory, empirical evidence and aggregate implications". Thesis, London School of Economics and Political Science (University of London), 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.268464.
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Psaradakis, Zacharias. "Econometric modelling in systems of cointegrated variables : applications to the Greek economy". Thesis, University of Southampton, 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.315507.
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Stankiewicz, Sandra [Verfasser]. "Forecasting and econometric modelling of macroeconomic and financial time series / Sandra Stankiewicz". Konstanz : Bibliothek der Universität Konstanz, 2015. http://d-nb.info/1079666028/34.
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Delle, Monache Davide. "Essays on state space models and macroeconomic modelling". Thesis, University of Cambridge, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.609745.
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Azam, Mohammad Nurul 1957. "Modelling and forecasting in the presence of structural change in the linear regression model". Monash University, Dept. of Econometrics and Business Statistics, 2001. http://arrow.monash.edu.au/hdl/1959.1/9152.
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Baldwin, Elizabeth. "Modelling preferences in economics". Thesis, University of Oxford, 2014. https://ora.ox.ac.uk/objects/uuid:8abebfd3-58df-4223-83b8-ce2f43b5dc90.
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This thesis considers the economics of preferences in two different contexts. First it examines damages from climate change. I argue that our ignorance of the welfare implications of higher levels of warming, as well as scientific uncertainty in precisely what might trigger these scenarios, imply that our tastes and beliefs are incomplete (in the sense of Galaabaatar and Karni, 2013). That is, there are many 'plausible' ways to evaluate a given scenario. In Chapter 1, then, I develop this theory, and use it to formally separate climate impacts into three sorts: those understood well, those understood badly, and those representing the worst possible scenario. I provide a generalisation of the 'dismal theorem' of Weitzman (2009a), and address the question of policy choice: prices versus quantities (cf. Weitzman, 1974). Chapter 2 is an example of the analysis propounded in Chapter 1. I explore the sensitivity of the social cost of carbon to assumed damages from 4C warming, to the assumed extent of CO2 emissions, and to the modelling of the climate and carbon cycles. The analysis shows that differing prior assumptions can alter our evaluation of policy by orders of magnitude. The second part of this thesis regards preferences for indivisible goods. In Chapter 3, which is joint work with Paul Klemperer, I introduce to this field the 'tropical hypersurface', being those prices at which an agent's demand changes. Simple geometric features of this set tell us the precise trade-offs that interest the agent. Thus we develop a new taxonomy of valuations, `demand types'; familiar notions such as substitutes and complements are examples. Finally, we provide a necessary and sufficient condition on these `demand types' for existence of competitive equilibrium, which implies several existing results, as well as new and quite different examples.
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Kavari, Gift Vijandjua. "Modelling macroeconomic performance of African economies : an application of a macro econometric model". Thesis, University of Surrey, 2002. http://epubs.surrey.ac.uk/844583/.
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The main objective of this study has been to model macroeconomic performance of African economies, and therefore, a macro econometric model was constructed to facilitate this exercise. The study has investigated thirteen African countries during the period 1980-97. Based on the growth rate of real GDP and per capita income, and other macroeconomic indicators, Botswana emerges as the African "Tiger Economy", which has pursued sound economic policies. Other good macroeconomic performers are Mauritius and Namibia. The macro econometric model was constructed for four African economies in Southern Africa: Namibia, Botswana, Mauritius, and South Africa. An instrumental variable technique was applied to estimate the model, and the WinSolve (simulation program) was utilised to perform policy simulations. Based on estimated model (1970-96), consumption is not influenced by real interest rates. However, real interest rates are a determinant of investment only in South Africa. The determinant of consumption is real disposable income and the determinant of investment is real domestic income, in all the countries. Exchange rate effects boosted exports in the economy following a pegged exchange rate system (Namibia), and have constrained imports in the economy, which have experienced massive exchange rate depreciation or a weak currency (Mauritius). The existence of speculative money demand is well confirmed in Botswana and South Africa, but not in Namibia and Mauritius. In all countries, real wage rates and the level of income significantly determine employment. In the simulation model, a tax stabilisation rule was enforced, and a quarter of last year's cumulated debt was raised in taxes. When the tax rule is in place, the effects of government spending to stimulate the level of income is less potent than when the tax rule is relaxed. The simulation model was used to perform historical simulations, and the ability of the model to replicate the actual data demonstrates the "goodness of fit" of the model. Hence the model was subjected to shocks, and the potency of economic policies on the economy was assessed. These policies are interest rate, exchange rate devaluation, fiscal policy (government spending and tax cuts), and income policy (wages rise). Based on simulation evidence, interest rate policy was more potent in stimulating economic activities in South Africa than in the remaining economies. Interest rate control in Mauritius and the lack of an independent interest rate policy in Namibia explain why the interest rate policy in these economies is less potent. Exchange rate devaluation improves the trade balance in Namibia and Botswana whilst the trade balance in Mauritius and South Africa deteriorates. The conduct of fiscal policy (rise in government spending or tax cuts) to raise the level of income is more effective in South Africa. While a rise in government spending is less effective in Mauritius, tax cuts are more potent in this economy. Tax cuts policy is relatively less effective than a rise in government spending in Namibia and Botswana. Policy prescriptions are country-specific and the study recommends an implementation of proposed growth policy targets.
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Allen, Christopher Bellett. "Supply-side economics : structural econometric modelling of producer pricing and factor demand decisions". Thesis, London Business School (University of London), 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.339000.
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Al-Rabbaie, Arqam. "Modelling the demand for energy in the OECD countries using three econometric approaches". Thesis, University of Surrey, 2005. http://epubs.surrey.ac.uk/804894/.
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Wan, Lai Shan. "Macroeconomic modelling and policy simulation for the Chinese economy". HKBU Institutional Repository, 2002. http://repository.hkbu.edu.hk/etd_ra/335.
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Anwar, Muslimin. "Modelling exchange rates and monetary policy in emerging Asian economies : non-linear econometric approach". Thesis, Brunel University, 2007. http://bura.brunel.ac.uk/handle/2438/4865.
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In this thesis we examine exchange rates and monetary policy of four emerging Asian countries, namely Indonesia, Malaysia, the Philippines and South Korea. We model equilibrium exchange rates using a general behavioural specification consistent with a variety of theoretical approaches; and short-run dynamics using a general non-linear adjustment model. We find in all countries examined, equilibrium nominal and real exchange rates are a function of permanent relative output and one or more variables from domestic and foreign price levels, nominal and real interest rate differentials, the level of and changes in net foreign assets, and a time trend. These results imply that individual countries present significant elements of idiosyncratic behaviour, casting doubt on empirical models using panel-data techniques. We also obtain evidence of non-linear exchange rate dynamics, with the speed of adjustment to equilibrium being in all cases a function of the size, and in two cases, the sign of the misalignment term. With respect to monetary policy, we examined these countries' monetary policy reaction function based on an open economy augmented Taylor rule including the exchange rate and the foreign interest rate. Using a formal testing approach, our tests reject linearity, suggesting that monetary authorities in these four emerging economies are subject to nonlinear inflation effects and that they respond more vigorously to inflation when it is further from the target. Our results also lead us to speculate that policymakers in three countries may have been attempting to keep inflation within the range, while those in the other country may have been pursuing a point inflation target. Finally, we also find monetary policy is asymmetric as policy makers respond differently to upward and downward deviations of inflation away from the target.
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Qi, Rongyan. "Explaining the post-reform Chinese economy in an international content : an econometric modelling analysis". Thesis, University of Sheffield, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.425994.
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Harnett, Ian R. "An econometric comparison of personal sector consumption in the United Kingdom and the United States". Thesis, University of Oxford, 1988. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.254035.
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Nosova, Olga, i Knut Bartels. "Statistical analysis of the corporate governance system in the Ukraine: problems and development perspectives". Universität Potsdam, 2006. http://opus.kobv.de/ubp/volltexte/2007/1218/.
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This paper investigates the formation of the ownership structure and the corporate governance system of the Ukraine as a country in transition. Numerous studies consider that privatization results in the establishment of a proprietors’ motivation mechanism. On the other hand it causes ownership concentration in the hands of a few shareholders and managers. The goal of
economic reform in transition and, largely, its pace, is measured by the degree to which shareholders participate in short- and long-term corporate value creation. Shareholder access to such created value depends on the ability of corporate “insiders”, especially executives and management, to claim a disproportionate share of corporate value (the “insider effect”). An econometric analysis of the correlation between privatization and macroeconomic factors studies the degree of effectiveness of economic reforming in Ukrainian regions.
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Pham, Tien Duc, i n/a. "A new approach to regional modelling: an Integrated Regional Equation System (IRES)". Griffith University. School of International Business and Asian Studies, 2004. http://www4.gu.edu.au:8080/adt-root/public/adt-QGU20041022.083520.
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This thesis develops a new structure that explicitly combines two CGE models, a national and a regional, in an integrated structure that gives the thesis model the name IRES, in short for the Integrated Regional Equation System. The typical features of the integrated structure are the adding-up conditions and the two-way linkages between the national and the regional modules facilitated by the interface shifters. The adding-up conditions ensure the two modules produce consistent results and updated databases. The inclusion of the interface shifters on the one hand plays a role in ensuring compatibility of results of the two modules, i.e. no distortion occurs because technical or taste changes are transferred across modules. On the other hand, the interface shifters assist the operation of IRES in different modes: the model can be used as a top-down model, a bottom-up model or an integrated model where national and regional shocks can be introduced at the same time. Hence, IRES has more flexibility in its application than a regional model or a national model alone, as IRES can make use of availability of data at any levels in the economy. IRES has a new labour market in which regional migration is no longer the only factor that settles the labour market as in the original setting of the MMRF model. Regional unemployment and regional participation rates are modelled to response to changes in regional employment growth using elasticities estimated econometrically in this thesis. IRES implements historical patterns of regional migration so that results of regional migration are consistent with observed patterns. Altogether, regional migration, regional unemployment and participation rates determine the equilibrium of the labour market. IRES adopts new approaches to modelling margin demands and indirect taxes. These new approaches are very effective in reducing the size of IRES but they do not compromise the use of the model. These approaches are readily applicable to any other regional CGE models.
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Pham, Tien Duc. "A new approach to regional modelling: an Integrated Regional Equation System (IRES)". Thesis, Griffith University, 2004. http://hdl.handle.net/10072/366367.
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This thesis develops a new structure that explicitly combines two CGE models, a national and a regional, in an integrated structure that gives the thesis model the name IRES, in short for the Integrated Regional Equation System. The typical features of the integrated structure are the adding-up conditions and the two-way linkages between the national and the regional modules facilitated by the interface shifters. The adding-up conditions ensure the two modules produce consistent results and updated databases. The inclusion of the interface shifters on the one hand plays a role in ensuring compatibility of results of the two modules, i.e. no distortion occurs because technical or taste changes are transferred across modules. On the other hand, the interface shifters assist the operation of IRES in different modes: the model can be used as a top-down model, a bottom-up model or an integrated model where national and regional shocks can be introduced at the same time. Hence, IRES has more flexibility in its application than a regional model or a national model alone, as IRES can make use of availability of data at any levels in the economy. IRES has a new labour market in which regional migration is no longer the only factor that settles the labour market as in the original setting of the MMRF model. Regional unemployment and regional participation rates are modelled to response to changes in regional employment growth using elasticities estimated econometrically in this thesis. IRES implements historical patterns of regional migration so that results of regional migration are consistent with observed patterns. Altogether, regional migration, regional unemployment and participation rates determine the equilibrium of the labour market. IRES adopts new approaches to modelling margin demands and indirect taxes. These new approaches are very effective in reducing the size of IRES but they do not compromise the use of the model. These approaches are readily applicable to any other regional CGE models.Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
School of International Business and Asian Studies
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Milunovich, George Economics Australian School of Business UNSW. "Modelling and valuing multivariate interdependencies in financial time series". Awarded by:University of New South Wales. School of Economics, 2006. http://handle.unsw.edu.au/1959.4/25162.
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This thesis investigates implications of interdependence between stock market prices in the context of several financial applications including: portfolio selection, tests of market efficiency and measuring the extent of integration among national stock markets. In Chapter 2, I note that volatility spillovers (transmissions of risk) have been found in numerous empirical studies but that no one, to my knowledge, has evaluated their effects in the general portfolio framework. I dynamically forecast two multivariate GARCH models, one that accounts for volatility spillovers and one that does not, and construct optimal mean-variance portfolios using these two alternative models. I show that accounting for volatility spillovers lowers portfolio risk with statistical significance and that risk-averse investors would prefer realised returns from portfolios based on the volatility spillover model. In Chapter 3, I develop a structural MGARCH model that parsimoniously specifies the conditional covariance matrix and provides an identification framework. Using the model to investigate interdependencies between size-sorted portfolios from the Australian Stock Exchange, I gain new insights into the issue of asymmetric dependence. My findings not only confirm the observation that small stocks partially adjust to market-wide news embedded in the returns to large firms but also present evidence that suggests that small firms in Australia fail to even partially adjust (with statistical significance) to large firms??? shocks contemporaneously. All adjustments in small capitalisation stocks occur with a lag. Chapter 4 uses intra-daily data and develops a new method for measuring the extent of stock market integration that takes into account non-instantaneous adjustments to overnight news. This approach establishes the amounts of time that the New York, Tokyo and London stock markets take to fully adjust to overnight news and then uses this This thesis investigates implications of interdependence between stock market prices in the context of several financial applications including: portfolio selection, tests of market efficiency and measuring the extent of integration among national stock markets. In Chapter 2, I note that volatility spillovers (transmissions of risk) have been found in numerous empirical studies but that no one, to my knowledge, has evaluated their effects in the general portfolio framework. I dynamically forecast two multivariate GARCH models, one that accounts for volatility spillovers and one that does not, and construct optimal mean-variance portfolios using these two alternative models. I show that accounting for volatility spillovers lowers portfolio risk with statistical significance and that risk-averse investors would prefer realised returns from portfolios based on the volatility spillover model. In Chapter 3, I develop a structural MGARCH model that parsimoniously specifies the conditional covariance matrix and provides an identification framework. Using the model to investigate interdependencies between size-sorted portfolios from the Australian Stock Exchange, I gain new insights into the issue of asymmetric dependence. My findings not only confirm the observation that small stocks partially adjust to market-wide news embedded in the returns to large firms but also present evidence that suggests that small firms in Australia fail to even partially adjust (with statistical significance) to large firms??? shocks contemporaneously. All adjustments in small capitalisation stocks occur with a lag. Chapter 4 uses intra-daily data and develops a new method for measuring the extent of stock market integration that takes into account non-instantaneous adjustments to overnight news. This approach establishes the amounts of time that the New York, Tokyo and London stock markets take to fully adjust to overnight news and then uses this
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King, Daniel Jonathan. "Modelling stock return volatility dynamics in selected African markets". Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1006452.
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Stock return volatility has been shown to occasionally exhibit discrete structural shifts. These shifts are particularly evident in the transition from ‘normal’ to crisis periods, and tend to be more pronounced in developing markets. This study aims to establish whether accounting for structural changes in the conditional variance process, through the use of Markov-switching models, improves estimates and forecasts of stock return volatility over those of the more conventional single-state (G)ARCH models, within and across selected African markets for the period 2002-2012. In the univariate portion of the study, the performances of various Markov-switching models are tested against a single-state benchmark model through the use of in-sample goodness-of-fit and predictive ability measures. In the multivariate context, the single-state and Markov-switching models are comparatively assessed according to their usefulness in constructing optimal stock portfolios. It is found that, even after accounting for structural breaks in the conditional variance process, conventional GARCH effects remain important to capturing the heteroscedasticity evident in the data. However, those univariate models which include a GARCH term are shown to perform comparatively poorly when used for forecasting purposes. Additionally, in the multivariate study, the use of Markov-switching variance-covariance estimates improves risk-adjusted portfolio returns when compared to portfolios that are constructed using the more conventional single-state models. While there is evidence that the use of some Markov-switching models can result in better forecasts and higher risk-adjusted returns than those models which include GARCH effects, the inability of the simpler Markov-switching models to fully capture the heteroscedasticity in the data remains problematic.
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Lee, Huey-Lin 1974. "Modelling private vehicle use in a computable general equilibrium model of Taiwan". Monash University, Centre of Policy Studies, 2002. http://arrow.monash.edu.au/hdl/1959.1/7895.
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Almeida, Vanda Regina Guimarães de. "Bayesian estimation of a DSGE model for the Portuguese economy". Master's thesis, Instituto Superior de Economia e Gestão, 2009. http://hdl.handle.net/10400.5/2775.
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Mestrado em Econometria Aplicada e PrevisãoIn this paper, a New-Keynesian DSGE model for a small open economy integrated in a monetary union is developed and estimated for the Portuguese economy, using a Bayesian approach. Estimates for some key structural parameters are obtained and a set of exercises exploring the model's statistical and economic properties are performed. A survey on the main events and literature associated with DSGE models that motivated this study is also provided, as well as a comprehensive discussion of the Bayesian estimation and model vali¬dation techniques applied. The model features five types of agents namely households, firms, aggregators, the rest of the world and the government, and includes a number of shocks and frictions, which enable a closer matching of the short-run properties of the data and a more realistic short-term adjustment to shocks. It is assumed from the outset that mone¬tary policy is defined by the union's central bank and that the domestic economy's size is negligible, relative to the union's one, and therefore its specific economic fluctuations have no influence on the union's macroeconomic aggregates and monetary policy. An endogenous risk-premium is considered, allowing for deviations of the domestic economy's interest rate from the union's one. Furthermore it is assumed that all trade and financial flows are per¬formed with countries belonging to the union, which implies that the nominal exchange rate is irrevocably set to unity.
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Tipe, Luis Alberto Martinez. "Strategic project evaluation for open pit mining ventures using real options and allied econometric techniques". Thesis, Queensland University of Technology, 2010. https://eprints.qut.edu.au/48334/1/Luis_Martinez_Thesis.pdf.
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Open pit mine operations are complex businesses that demand a constant assessment of risk. This is because the value of a mine project is typically influenced by many underlying economic and physical uncertainties, such as metal prices, metal grades, costs, schedules, quantities, and environmental issues, among others, which are not known with much certainty at the beginning of the project. Hence, mining projects present a considerable challenge to those involved in associated investment decisions, such as the owners of the mine and other stakeholders.
In general terms, when an option exists to acquire a new or operating mining project, , the owners and stock holders of the mine project need to know the value of the mining project, which is the fundamental criterion for making final decisions about going ahead with the venture capital. However, obtaining the mine project’s value is not an easy task. The reason for this is that sophisticated valuation and mine optimisation techniques, which combine advanced theories in geostatistics, statistics, engineering, economics and finance, among others, need to be used by the mine analyst or mine planner in order to assess and quantify the existing uncertainty and, consequently, the risk involved in the project investment.
Furthermore, current valuation and mine optimisation techniques do not complement each other. That is valuation techniques based on real options (RO) analysis assume an expected (constant) metal grade and ore tonnage during a specified period, while mine optimisation (MO) techniques assume expected (constant) metal prices and mining costs. These assumptions are not totally correct since both sources of uncertainty—that of the orebody (metal grade and reserves of mineral), and that about the future behaviour of metal prices and mining costs—are the ones that have great impact on the value of any mining project.
Consequently, the key objective of this thesis is twofold. The first objective consists of analysing and understanding the main sources of uncertainty in an open pit mining project, such as the orebody (in situ metal grade), mining costs and metal price uncertainties, and their effect on the final project value. The second objective consists of breaking down the wall of isolation between economic valuation and mine optimisation techniques in order to generate a novel open pit mine evaluation framework called the ―Integrated Valuation / Optimisation Framework (IVOF)‖. One important characteristic of this new framework is that it incorporates the RO and MO valuation techniques into a single integrated process that quantifies and describes uncertainty and risk in a mine project evaluation process, giving a more realistic estimate of the project’s value. To achieve this, novel and advanced engineering and econometric methods are used to integrate financial and geological uncertainty into dynamic risk forecasting measures.
The proposed mine valuation/optimisation technique is then applied to a real gold disseminated open pit mine deposit to estimate its value in the face of orebody, mining costs and metal price uncertainties.
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Li, Gang. "Modelling and forecasting UK tourism demand in Western Europe : illustrations of TVP-LAIDS models' superiority over other econometric approaches". Thesis, University of Surrey, 2004. http://epubs.surrey.ac.uk/2100/.
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Berger, Nicholas. "Modelling structural and policy changes in the world wine market into the 21st century". Title page, contents and abstract only, 2000. http://web4.library.adelaide.edu.au/theses/09ECM/09ecmb496.pdf.
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Includes bibliographical references. Addresses the question of what an economic model of the world wine market suggests will happen to wine production, consumption, trade and prices in various regions in the early 21st century. A subsidiary issue is what difference would global or European regional wine liberalisation make to that outlook, according to such a model. Accompanying CD-ROM comprises spreadsheet written by Nick Berger, November 2000, for the Windows and Office97 versions of Excel; a seven region world wine model (WWM7) - base version projecting the world wine market 1996-2005 as a non-linear Armington model. System requirements for accompanying CD-ROM: IBM compatible computer ; Microsoft Excel 97 or later.
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Hakim, Abdul. "Modelling the interactions across international stock, bond and foreign exchange markets". UWA Business School, 2009. http://theses.library.uwa.edu.au/adt-WU2009.0202.
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[Truncated abstract] Given the theoretical and historical evidence that support the benefit of investing internationally. there is Iittle knowledge available of proper international portfolio construction in terms of how much should be invested in foreign countries, which countries should be targeted, and types of assets to be included in the portfolio. The prospects of these benefits depend on the market volatilities, cross-country correlations, and currency risks to change in the future. Another important issue in international portfolio diversification is the growth of newly emerging markets which have different characteristics from the developed ones. Addressing the issues, the thesis intends to investigate the nature of volatility, conditional correlations, and the impact of currency risks in international portfolio, both in developed and emerging markets. Chapter 2 provides literature review on volatility spillovers, conditional correlations, and forecasting both VaR and conditional correlations using GARCH-type models. Attention is made on the estimated models, type of assets, regions of markets, and tests of forecasts. Chapter 3 investigates the nature of volatility spillovers across intemational assets, which is important in determining the nature of portfolio's volatility when most assets are seems to be connected. ... The impacts of incorporating volatility spillovers and asymmetric effect on the forecast performance of conditional correlation will also be examined in this thesis. The VARMA-AGARCH of McAleer, Hoti and Chan (2008) and the VARMA-GARCH model of Ling and McAleer (2003) will be estimated to accommodate volatility spillovers and asymmetric effect. The CCC model of Bollerslev (1990) will also be estimated as benchmark as the model does not incorporate both volatility spillovers and asymmetric effects. Given the information about the nature of conditional correlations resulted from the forecasts using a rolling window technique, Section 2 of Chapter 4 investigates the nature of conditional correlations by estimating two multivariate GARCH models allowing for time-varying conditional correlations, namely the DCC model of Engle (2002) and the GARCC model of McAleer et al. (2008). Chapter 5 conducts VaR forecast considering the important role of VaR as a standard tool for risk management. Especially, the chapter investigates whether volatility spillovers and time-varying conditional correlations discussed in the previous two chapters are of helps in providing better VaR forecasts. The BEKK model of Engle and Kroner (1995) and the DCC model of Engle (2002) will be estimated to incorporate volatility spillovers and conditional correlations, respectively. The DVEC model of Bollerslev et al. (1998) and the CCC model of Bollerslev (1990) will be estimated to serve benchmarks, as both models do not incorporate both volatility spillovers and timevarying conditional correlations. Chapter 6 concludes the thesis and lists somc possible future research.
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Chhotobhai, Joana Jetal. "Equity research - Corticeira Amorim SGPS, S.A. : will the increase of temperatures affect harvesting cycles?" Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/19344.
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Mestrado em FinançasEste projeto consiste num relatório de avaliação da Corticeira Amorim S.G.P.G., S.A., com especialização no lado da oferta. Mais especificamente, no impacto da temperatura média mensal prevista nos ciclos de extração de cortiça. Este relatório segue o formato recomendado pelo CFA Institute e só foi considerada informação pública disponível até 31 de dezembro de 2018. O FCFF foi aplicado para avaliar a COR com o preço-alvo de €10.9 por ação, traduzindo-se na recomendação de compra. Outros dois métodos de fluxos de caixa descontados foram usados para complementar a avaliação, o FCFE e o DDM chegando ao preço-alvo de €10.8 por ação e €10.6 por ação, respetivamente. COR está presente num negócio único, cortiça, sendo o líder de mercado na indústria de rolhas de cortiça com 44% de quota de mercado. Adicionalmente, esta empresa beneficia do facto de ser portuguesa dado que a maior área (34%) de sobreiros está em Portugal. Foi feita uma análise adicional às temperaturas futuras em Portugal. A formulação matemática conhecida como Séries de Fourier foi usada para modelar esta variável. Subsequentemente, as previsões foram calculadas através da previsão pontual. Os resultados revelam que Portugal vai continuar a ser o país com as temperaturas ideais para o crescimento dos sobreiros. No entanto, uma pequena ação - antecipação do período da extração de cortiça (desde (meados) de abril até julho em vez de maio a agosto) nas próximas décadas - terá de ser levada a cabo pelos donos dos Montados.
This project is an Equity Research of Corticeira Amorim S.G.P.S., SA with a specialization on the supply side. Specifically, we focus on the impact of the forecasted monthly average temperatures on the harvesting cycles. This equity research follows the CFA Institute format and only public information until December 31st, 2018, was considered. The FCFF was applied to value COR with a TP of €10.9/sh, leading to a BUY recommendation. Two other discounted cash flow methods were used to complement the valuation, the FCFE and the DDM reaching a TP of €10.8/sh and €10.6/sh, respectively. COR operates in a unique business, cork, being the market leader in the cork stoppers industry with 44% market share. Moreover, the company benefits from being a Portuguese-based company since the highest area (34%) of cork oak forestry is in Portugal. A complementary analysis of the future temperatures in Portugal was carried out. The mathematical formulation known as Fourier Series was used to model this variable. Subsequently, the forecasts were computed through punctual prediction. The results stand for the maintenance of ideal temperatures in Portugal for the growth of cork oaks. However, a small action - early harvesting, from (mid) April until July instead of May to August, in the next decades - will have to take place by the Montado owners.
info:eu-repo/semantics/publishedVersion
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Mačiulaitytė, Elena. "Valstybės finansų ekonometrinis modeliavimas". Doctoral thesis, Lithuanian Academic Libraries Network (LABT), 2007. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2007~D_20070321_103425-68095.
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The accurate (exact) prediction of tax revenue is a very important task for state budget planning. Both underestimation and overestimation of the planned revenue could cause problems in case the revenue is used to finance government functions. In the past few years planning of profit tax revenue was not very exact: the sum of the profit tax collected was considerably smaller or considerably larger than the planned profit tax revenue. The difference between the actual and planned revenue was about 12–56 % every year. There are several related factors which aggravate profit tax revenue modelling. It is doubtful if the indicator of profit tax revenue is stationary. The assumption of the stationarity of indicators is usually made when applying econometric models to the indicators. This problem is caused by a frequent change of the Profit tax law. In addition, transitional processes, invoked by privatization, integration to EU, and etc were typical of the Lithuanian economy in the past few years. Therefore very general equations used to describe the profit tax revenue of macroeconometric models of many countries are not relevant to model and predict the profit tax revenue in Lithuania. In order to predict budget revenues accurately, their modelling methodology needs to be created so as to be effective in the situation where regression relations are complicated while disposable series of observations are rather short (the quarterly profit indicators have been known since 1998 in... [to full text]
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Scott, Ayesha T. "Contributions to modelling correlations in financial econometrics". Thesis, Queensland University of Technology, 2016. https://eprints.qut.edu.au/97634/1/Ayesha_Scott_Thesis.pdf.
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Modelling the correlations between financial asset returns is important for portfolio management and this thesis assesses a number of correlation models to provide insights into the best way to handle large portfolios of assets. It also outlines key features of stock correlation dynamics evident over the trading day and presents a model to capture this intraday pattern. Indeed, very little work exists on the dynamics of correlations during the trading day despite research into modelling intraday volatilities gaining momentum. These findings further the understanding of correlation dynamics, both in large portfolios as well as in returns sampled at high frequencies during market trading hours.
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Bourdarias-Pham, Vân. "Investissement direct étranger et tourisme international". Thesis, Toulouse 2, 2016. http://www.theses.fr/2016TOU20039.
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Cette étude porte sur l’investissement direct étranger et le tourisme international. Il s’agit d’une étude simultanée sur la demande touristique internationale à la fois en termes d’arrivées et de recettes ; ces éléments n’ont fait l’objet que de peu de travaux antérieurs, en raison de la spécificité du tourisme et les lacunes des données statistiques. Ce travail comporte deux parties. La première partie est divisée en deux chapitres. Le premier chapitre présente une analyse économique des IDE, y compris le secteur du tourisme et du tourisme international. Dans le deuxième chapitre, les principaux déterminants de l’IDE et du secteur touristique sont étudiés. La deuxième partie concerne les applications économétriques et le classement typologique des déterminants des IDE ; elle comporte deux chapitres. Dans le premier chapitre, les données statistiques, la méthodologie concernant les statistiques descriptives, et les modèles économétriques sont étudiés afin de démontrer le lien d’interdépendance et d’interaction. Le deuxième chapitre est consacré à l’analyse des tests des pays concernés. L’association des résultats des tests économétriques avec une étude de la monographie de chaque pays, permet d’établir un classement des déterminants d’IDE à destination touristiqueThis work focuses on foreign direct investment and international tourism. It is a simultaneous study in tourism demand international both in terms of arrivals and revenue; These elements have been little the subject of earlier work, due to the specificity of tourism and the shortcomings of statistical data. This work consists of two parts. The first is divided into two chapters. In the first chapter, it comes to the economic analysis of the IDE, including the sector of tourism and international tourism. In the second chapter, the main determinants of FDI and tourism are studied. The second part concerns the econometric applications and the classification of the typology of the determinants of FDI; it includes two chapters. In the first chapter, statistical data, the methodology for descriptive statistics and econometric models are studied in order to demonstrate the link of interdependence and the relationship of interaction. The second chapter is devoted to the analysis of tests of the countries concerned. By combining the results of econometric tests, a study of the product monograph of each country, it is permitted to establish a ranking of the determinants of FDI to tourist destination