Дисертації з теми "SAPPhIRE Model of Causality"
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Johansson, Magnus, and Johan Kingstedt. "Methods for Residual Generation Using Mixed Causality in Model Based Diagnosis." Thesis, Linköping University, Department of Electrical Engineering, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-12062.
Повний текст джерелаSeveral different air pollutions are produced during combustion in a diesel engine, for example nitric oxides, NOx, which can be harmful for humans. This has led to stricter emission legislations for heavy duty trucks. The law requires both lower emissions and an On-Board Diagnosis system for all manufactured heavy duty trucks. The OBD system supervises the engine in order to keep the emissions below legislation demands. The OBD system shall detect malfunctions which may lead to increased emissions. To design the OBD system an automatic model based diagnosis approach has been developed at Scania CV AB where residual generators are generated from an engine model.
The main objective of this thesis is to improve the existing methods at Scania CV AB to extract residual generators from a model in order to generate more residual generators. The focus lies on the methods to find possible residual generators given an overdetermined subsystem. This includes methods to estimate derivatives of noisy signals.
A method to use both integral and derivative causality has been developed, called mixed causality. With this method it has been shown that more residual generators can be found when designing a model based diagnosis system, which improves the fault isolation. To use mixed causality, derivatives are estimated with smoothing spline approximation.
Guo, Yuanxiang. "Chinese wheat price analysis - with application of cointegration and Granger causality test." Thesis, Georgia Institute of Technology, 2013. http://hdl.handle.net/1853/52978.
Повний текст джерелаVang, Jee. "Using a model of human cognition of causality to orient arcs in structural learning of Bayesian networks." Fairfax, VA : George Mason University, 2008. http://hdl.handle.net/1920/3386.
Повний текст джерелаVita: p. 249. Thesis director: Farrokh Alemi. Submitted in partial fulfillment of the requirements for the degree of Doctor of Philosophy in Computational Sciences and Informatics. Title from PDF t.p. (viewed Mar. 16, 2009). Includes bibliographical references (p. 238-248). Also issued in print.
Hubálek, Ondřej. "Grafické modely ve statistice a ekonometrii." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-165317.
Повний текст джерелаOmran, Hayan. "Examining the relationship between trading volume, market return volatility and U.S. aggregate mutual fund flow." Thesis, Brunel University, 2016. http://bura.brunel.ac.uk/handle/2438/12848.
Повний текст джерелаKayesh, Humayun. "Deep Learning for Causal Discovery in Texts." Thesis, Griffith University, 2022. http://hdl.handle.net/10072/415822.
Повний текст джерелаThesis (PhD Doctorate)
Doctor of Philosophy (PhD)
School of Info & Comm Tech
Science, Environment, Engineering and Technology
Full Text
Karl, Velander, and Callerud Karin. "The development of the financialsystem and economic growth in Sweden : A Granger causality analysis." Thesis, Karlstads universitet, Handelshögskolan (from 2013), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kau:diva-78703.
Повний текст джерелаBinase, Uviwe. "Socioeconomic determinants of life expectancy in post-apartheid South Africa." University of the Western Cape, 2018. http://hdl.handle.net/11394/6790.
Повний текст джерелаLife expectancy in South African has been fluctuating following the global trends that affects both developed and developing countries. In South Africa the average life expectancy from 1994 to 1996 was higher with an average of 61,3 years. As from 1997 to 1999 it declined to an average of 58,4 years. The difference in years between 1994-1996 and 1997- 1999 was 2,9 years. From 2000-2002, life expectancy continued to decline to an average of 54,6 years. Life expectancy declined in a constant proportion from 2003-2005 and 2006-2008. In 2003-2005 it slightly declined to 52 years and in 2004-2007 it declined to 42,0 years. Life expectancy escalated after the mentioned years to 54,4 years between 2009-2011 and from 2012-2013 life expectancy was 54,0 years on average. This study examined factors or variables that verify the socioeconomic determinants of life expectancy in post-apartheid South Africa. Understanding the relationship between life expectancy and the socioeconomic variables was based on three objectives. The main objective for this study was to determine the impact of socioeconomic variables and health policy efforts on life expectancy, seeking an in-depth understanding by investigating the causality relationship between life expectancy and socioeconomic variables thus later investigating the difference between male and female’s life expectancy. This study was motivated by the fluctuating life expectancy in South Africa. The fluctuation in life expectancy were thus studied in relation to socioeconomic determinants which are government health expenditure, government education expenditure, GDP per capita, total fertility rate, urban population, access to sustainable drinking water and undernourishment. The mentioned variables were used as socioeconomic determinants of life expectancy during post-apartheid South Africa.
Strikholm, Birgit. "Essays on nonlinear time series modelling och hypothesis testing." Doctoral thesis, Handelshögskolan i Stockholm, Ekonomisk Statistik (ES), 2004. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-535.
Повний текст джерелаDiss. Stockholm : Handelshögskolan, 2004
Germeys, Jasper. "Supervision of the Air Loop in the Columbus Module of the International Space Station." Thesis, Linköpings universitet, Fordonssystem, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-133926.
Повний текст джерелаMomoli, Tommaso. "Financialization of the commodity future markets: a SVAR model approach." Master's thesis, reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10362/26207.
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This is a study regarding the impact of the index investments in the Commodity Future Market. The models applied, focus on the Causal Analysis and the Impulse Response Function through an orthogonalisation of the Vector of Auto Regression (SVAR), this allow to extract lead/lag correlation between the Index and First nearby Return for different Futures Sectors and in addition response to shocks in different equation. The study is divided in three different period, to reflect before and after the Financialization and then after the introduction in the market of the new generation of commodity Indexes. The results show a different behaviors of the parameters throughout time with a particular emphasis for the most traded Commodities to lead the others.
Trata-se de um estudo sobre o impacto dos investimentos em índices no mercado futuro de commodities. Os modelos aplicados, enfocam a Análise Causal e a Função de Resposta ao Impulso através de uma ortogonalização do Vetor de Auto Regressão (SVAR), permitindo extrair a correlação lead / lag entre o Índice e o Primeiro Retorno próximo para diferentes Setores Futuros e, A choques em diferentes equações. O estudo é dividido em três períodos diferentes, para refletir antes e depois da Financialização e, em seguida, após a introdução no mercado da nova geração de índices de commodities. Os resultados mostram um comportamento diferente dos parâmetros ao longo do tempo com uma ênfase particular para os Commodities mais negociados para liderar os outros.
Ko, Hsiu-Hsin. "Three Essays on Exchange Rates and Fundamentals." The Ohio State University, 2009. http://rave.ohiolink.edu/etdc/view?acc_num=osu1245264972.
Повний текст джерелаRAMAZZOTTI, DANIELE. "A Model of Selective Advantage for the Efficient Inference of Cancer Clonal Evolution." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2016. http://hdl.handle.net/10281/100453.
Повний текст джерелаMello, Eduardo Morato. "In search of exchange rate predictability: a study about accuracy, consistency, and granger causality of forecasts generated by a Taylor Rule Model." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/13308.
Повний текст джерелаRejected by JOANA MARTORINI (joana.martorini@fgv.br), reason: Eduardo, Alterar o ano para 2015. on 2015-02-05T15:09:42Z (GMT)
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Este estudo investiga o poder preditivo fora da amostra, um mês à frente, de um modelo baseado na regra de Taylor para previsão de taxas de câmbio. Revisamos trabalhos relevantes que concluem que modelos macroeconômicos podem explicar a taxa de câmbio de curto prazo. Também apresentamos estudos que são céticos em relação à capacidade de variáveis macroeconômicas preverem as variações cambiais. Para contribuir com o tema, este trabalho apresenta sua própria evidência através da implementação do modelo que demonstrou o melhor resultado preditivo descrito por Molodtsova e Papell (2009), o 'symmetric Taylor rule model with heterogeneous coefficients, smoothing, and a constant'. Para isso, utilizamos uma amostra de 14 moedas em relação ao dólar norte-americano que permitiu a geração de previsões mensais fora da amostra de janeiro de 2000 até março de 2014. Assim como o critério adotado por Galimberti e Moura (2012), focamos em países que adotaram o regime de câmbio flutuante e metas de inflação, porém escolhemos moedas de países desenvolvidos e em desenvolvimento. Os resultados da nossa pesquisa corroboram o estudo de Rogoff e Stavrakeva (2008), ao constatar que a conclusão da previsibilidade da taxa de câmbio depende do teste estatístico adotado, sendo necessária a adoção de testes robustos e rigorosos para adequada avaliação do modelo. Após constatar não ser possível afirmar que o modelo implementado provém previsões mais precisas do que as de um passeio aleatório, avaliamos se, pelo menos, o modelo é capaz de gerar previsões 'racionais', ou 'consistentes'. Para isso, usamos o arcabouço teórico e instrumental definido e implementado por Cheung e Chinn (1998) e concluímos que as previsões oriundas do modelo de regra de Taylor são 'inconsistentes'. Finalmente, realizamos testes de causalidade de Granger com o intuito de verificar se os valores defasados dos retornos previstos pelo modelo estrutural explicam os valores contemporâneos observados. Apuramos que o modelo fundamental é incapaz de antecipar os retornos realizados.
This study investigates whether a Taylor rule-based model provides short-term, one-month-ahead, out-of-sample exchange-rate predictability. We review important research that concludes that macroeconomic models are able to forecast exchange rates over short horizons. We also present studies that are skeptical about the forecast predictability of exchange rates with fundamental models. In order to provide our own evidence and contribution to the discussion, we implement the model that presents the strongest results in Molodtsova and Papell’s (2009) influential paper, the 'symmetric Taylor rule model with heterogeneous coefficients, smoothing, and a constant.' We use a sample of 14 currencies vis-à-vis the US dollar to make out-of-sample monthly forecasts from January 2000 to March 2014. As with the work of Galimberti and Moura (2012), we focus on free-floating exchange rate and inflation-targeting economies, but we use a sample of both developed and developing countries. In line with Rogoff and Stavrakeva (2008), we find that the conclusion about a model’s out-of-sample exchange-rate forecast capability largely depends on the test statistics used: it is necessary to use stringent and robust test statistics to properly evaluate the model. After concluding that it is not possible to claim that the forecasts of the implemented model are more accurate than those of a random walk, we inquire as to whether the fundamental model is at least capable of providing 'rational,' or 'consistent,' predictions. To test this, we adopt the theoretical and procedural framework laid out by Cheung and Chinn (1998). We find that the implemented Taylor rule model’s forecasts do not meet the 'consistent' criteria. Finally, we implement Granger causality tests to verify whether lagged predicted returns are able to partially explain, or anticipate, the actual returns. Once again, the performance of the structural model disappoints, and we are unable to confirm that the lagged forecasted returns antedate the actual returns.
Momoli, Tommaso. "Financialization of the commodity future markets: a SVAR model approach." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/18105.
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This is a study regarding the impact of the index investments in the Commodity Future Market. The models applied, focus on the Causal Analysis and the Impulse Response Function through an orthogonalisation of the Vector of Auto Regression (SVAR), this allow to extract lead/lag correlation between the Index and First nearby Return for different Futures Sectors and in addition response to shocks in different equation. The study is divided in three different period, to reflect before and after the Financialization and then after the introduction in the market of the new generation of commodity Indexes. The results show a different behaviors of the parameters throughout time with a particular emphasis for the most traded Commodities to lead the others.
Trata-se de um estudo sobre o impacto dos investimentos em índices no mercado futuro de commodities. Os modelos aplicados, enfocam a Análise Causal e a Função de Resposta ao Impulso através de uma ortogonalização do Vetor de Auto Regressão (SVAR), permitindo extrair a correlação lead / lag entre o Índice e o Primeiro Retorno próximo para diferentes Setores Futuros e, A choques em diferentes equações. O estudo é dividido em três períodos diferentes, para refletir antes e depois da Financialização e, em seguida, após a introdução no mercado da nova geração de índices de commodities. Os resultados mostram um comportamento diferente dos parâmetros ao longo do tempo com uma ênfase particular para os Commodities mais negociados para liderar os outros.
Sax, Kaijser Per. "Tobin’s Q theory and regional housing investment : Empirical analysis on Swedish data." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-226661.
Повний текст джерелаLytsenko, M., Тетяна Олександрівна Маринич, Татьяна Александровна Маринич, and Tetiana Oleksandrivna Marynych. "Econometric modeling of nonstationary processes." Thesis, Karazin National University, 2015. http://essuir.sumdu.edu.ua/handle/123456789/68631.
Повний текст джерелаAvena, Anna. "Analyzing brain connectivity of disorder of consciousness patients with a multi-variate, time-dependent and adaptive arma model." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2020. http://amslaurea.unibo.it/20409/.
Повний текст джерелаSvärd, Carl, and Henrik Wassén. "Development of Methods for Automatic Design of Residual Generators." Thesis, Linköping University, Department of Electrical Engineering, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-7931.
Повний текст джерелаLegislation requires substantially lowered emissions and that all trucks manufactured are equipped with an On-Board Diagnosis (OBD) system. One approach for designing an OBD system is to use model based diagnosis and residual generation. At Scania CV AB, a method for automatic design of a diagnosis system from a model has been developed but there are still possibilities for improvements to get more and better residual generators. The main objective of this thesis is to analyze and improve the existing method.
A theoretic outline of two methods using different causality assumptions is presented and the differences are analyzed and discussed. Stability of residual generators is analyzed and a method for constructing stable residual generators and its consequences for the diagnosis system is presented.
Methods using integral and derivative causality are found not to be equivalent for all dynamic systems, resulting in that a diagnosis system utilizing both methods would be preferred for detectability reasons. A stable residual generator can be constructed from an unstable residual generator. The method for stabilizing a residual generator affects the fault sensitivity of the residual generator and the fault detectability properties of the diagnosis system.
Lagkrav kräver väsentligt sänkta emissionsnivåer och att alla tillverkade lastbilar är utrustade med ett system för On-Board Diagnosis (OBD). Ett sätt att konstruera ett OBD system är att använda modellbaserad diagnos och residualgenerering. På Scania CV AB har en metod för automatisk konstruktion av ett diagnossystem utifrån en modell utvecklats, men det finns utrymme för bättringar som leder till att fler och bättre residualgeneratorer konstrueras. Huvudsyftet med examensarbetet är att analysera och förbättra den existerande metoden.
En teoretisk beskrivning av två metoder som använder sig av olika kausalitet presenteras och skillnaderna analyseras och diskuteras. Stabiliteten hos residualgeneratorer analyseras och en metod för att konstruera stabila residualgeneratorer och dess konsekvenser för diagnossystemet presenteras.
Metoder som använder sig av integrerande respektive deriverande kausalitet visar sig inte vara ekvivalenta för alla dynamiska system, vilket resulterar i att ett diagnossystem som använder sig av båda kausaliteterna är att föredra i ett diagnossystem med avseende på detekterbarhet. En stabil residualgenerator kan konstrueras från en instabil residualgenerator. Metoden för att stabilisera en residualgenerator påverkar felkänsligheten hos residualgeneratorn och feldetekterbarheten hos diagnossystemet.
Murakami, Patricia Nagami. "Causalidade Granger em medidas de risco." Universidade de São Paulo, 2011. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-14072011-221932/.
Повний текст джерелаQuantile Regression, Value at Risk, CAViaR Model, Granger Causality, Granger Causality in Risk
Maxa, Jan. "Analýha a komparace inflace v ČR a SRN." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-124610.
Повний текст джерелаMICHELE, ANELLI. "The price discovery process of the sovereign and bank credit risk in a high-volatility framework." Doctoral thesis, Università di Siena, 2020. http://hdl.handle.net/11365/1095780.
Повний текст джерелаBortolini, Rafaela. "Enhancing building performance : a Bayesian network model to support facility management." Doctoral thesis, Universitat Politècnica de Catalunya, 2019. http://hdl.handle.net/10803/666187.
Повний текст джерелаActualmente, el desempeño de los edificios existentes es de gran interés debido a la necesidad de renovar el stock de edificios antiguos, proporcionando así una mejor calidad de vida a los usuarios finales. El estado de conservación de los edificios y las condiciones ambientales interiores se relacionan con el bienestar, la salud y la productividad de los ocupantes. Al mismo tiempo, existe la necesidad de edificios más sostenibles con un menor consumo energético. El desempeño de un edificio se ve afectado por varios factores (p.ej., agentes ambientales, comportamiento de los ocupantes, operación, mantenimiento, etc.). La mayoría de estos aspectos y causas muestran complejas relaciones, y consecuentemente existe una gran incertidumbre para predecirlo. Sin embargo, las investigaciones anteriores no contemplan estas relaciones causales y, a menudo, se basan en modelos lineales. Aunque el desempeño de los edificios se debe abordar teniendo en cuenta los requisitos de las diferentes partes interesadas, pocos estudios se centran en este enfoque. Los estudios anteriores tienden a analizar aspectos particulares del desempeño, ignorando las posibles relaciones que pueden ocurrir entre ellos. Los gestores de edificios deben abordar eficientemente la incertidumbre, gestionar los riesgos e identificar, analizar, evaluar y mitigar sistemáticamente los factores que pueden afectar el desempeño del edificio. Teniendo en cuenta los aspectos comentados anteriormente, el objetivo de esta tesis es desarrollar un modelo de red bayesiana (BN) para gestionar holísticamente el desempeño operativo de los edificios y apoyar su gestión. El modelo propuesto consiste en un enfoque probabilístico para evaluar el desempeño de los edificios existentes, considerando tres categorías: seguridad y funcionalidad, salud y confort, y eficiencia energética. El modelo también proporciona una interpretación de la cadena de causalidad entre los múltiples factores e indicadores relacionados con el desempeño del edificio. El análisis de las relaciones entre los diferentes aspectos del desempeño de los edificios (estado de conservación del edificio, el confort del usuario final y la eficiencia energética del edificio) va a permitir explicar y entender sus factores causales y va a posibilitar mejorar la gestión de estos edificios. La verificación del modelo propuesto se lleva a cabo mediante análisis de sensibilidad y datos de edificios existentes. Las aplicaciones del modelo incluyen: la evaluación del desempeño de edificios de forma integrada; la identificación de factores causales; la predicción del desempeño de los edificios a través de escenarios de renovación y modernización; y la priorización de las acciones de mantenimiento. La implementación del modelo en diversos casos de estudio permite ilustrar su aplicabilidad y validar su uso. Los resultados de esta tesis también incluyen métodos de recogida de datos para las variables del modelo propuesto. De hecho, se propone un sistema de inspección de edificios para evaluar el desempeño técnico de los edificios, se desarrolla un sistema de text mining para analizar las solicitudes de mantenimiento de los usuarios finales y se formula un cuestionario para recoger la satisfacción de los usuarios finales en relación a los espacios de los edificios en los que interactúan. Para concluir, este trabajo propone el uso del Building Information Modeling (BIM) para almacenar y acceder a la información necesaria para el modelo.
Mvita, Mpinda Freddy. "The impact of dividend policy on shareholders' wealth : evidence from the Vector Error Correction Model." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/31010.
Повний текст джерелаDissertation (MCom)--University of Pretoria, 2012.
Financial Management
Unrestricted
Kilic, Esen. "An Empirical Analysis Of The Relationship Between Financial Deepening And Economic Growth: The Case Of Turkey." Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/12609913/index.pdf.
Повний текст джерелаChi, Nam Yau. "Economically justified equity investment strategies capable of withstanding growing interest rate environment." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/18823.
Повний текст джерелаThis thesis proposes an approach for selection of stocks that could serve as a natural hedge for fixed income portfolios to minimize rising interest rate risk. The developed approach is applied to the case of US equity markets. Based on macroeconomic analysis, vector autoregressive model and Granger causality tests, and financial analysis, it is concluded that US financial sector is the optimal choice among all sectors that have strong correlations with interest rates. The thesis? results could be useful for interest rate risk management of the investment portfolios under the growing interest rate environment, in particular, and for investment industry professionals.
info:eu-repo/semantics/publishedVersion
Bisová, Sára. "Modely vývoje inflace a její volatility v ČR." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-73484.
Повний текст джерелаFernandes, Pedro Manuel Ribeiro. "The role of banks in economic growth : an empirical application to Portugal." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/19408.
Повний текст джерелаEsta dissertação avalia o contributo dos bancos para o crescimento económico em Portugal desde a adopção do Euro, usando testes de cointegração e causalidade, bem como funções de resposta a impulsos. Usando rácios de passivos líquidos (depósitos) dos bancos e empréstimos em percentagem do PIB nominal como medidas do desenvolvimento financeiro, encontramos forte evidência de que o crescimento económico exerce um impacto positivo no desenvolvimento financeiro, de acordo com Demetriades e Hussein (1996). Concluiu-se também que os empréstimos bancários não aumentam o produto real no longo e no curto prazo, também de acordo com Demetriades e Hussein (1996). Ao invés disso, estes têm um efeito negativo no PIB real per capita. Esses resultados corroboram a visão defendida por Robinson (1952), como citado em King e Levine (1993a) e Lucas (1988), de que o financiamento apenas evolui em resposta aos desenvolvimentos da economia.
This dissertation evaluates the role of banks in economic growth in Portugal since the adoption of the Euro, using cointegration and causality tests, as well as impulse response functions. Using ratios of banks? liquid liabilities (deposits) and loans to nominal GDP as a measure of financial development, we find strong evidence of economic growth exerting a positive impact on financial development, in line with Demetriades and Hussein (1996). It was also concluded that bank lending does not boost real output both in the long-run and in the short-run, also in line with Demetriades and Hussein (1996). Instead, it has a negative effect on real per capita GDP. These results support the view championed by Robinson (1952), as cited in King and Levine (1993a), and Lucas (1988), that finance only evolves in response to developments in the economy.
info:eu-repo/semantics/publishedVersion
FALOTICO, ROSA. "Modelli ad Equazioni Strutturali e Reti Probabilistiche Bayesiane: due approcci a confronto nello studio di relazioni causali." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2011. http://hdl.handle.net/10281/19444.
Повний текст джерелаSchulz, Christoph. "Causation and the objectification of agency." Thesis, University of Hertfordshire, 2015. http://hdl.handle.net/2299/16480.
Повний текст джерелаNakatani, Tomoaki. "Four Essays on Building Conditional Correlation GARCH Models." Doctoral thesis, Handelshögskolan i Stockholm, Ekonomisk Statistik (ES), 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-952.
Повний текст джерелаDiss. Stockholm : Handelshögskolan, 2010. Sammanfattning jämte 4 uppsatser.
Alshogeathri, Mofleh Ali Mofleh. "Macroeconomic determinants of the stock market movements: empirical evidence from the Saudi stock market." Diss., Kansas State University, 2011. http://hdl.handle.net/2097/11989.
Повний текст джерелаDepartment of Economics
Lance J. Bachmeier
This dissertation investigates the long run and short run relationships between Saudi stock market returns and eight macroeconomic variables. We investigate the ability of these variables to predict the level and volatility of Saudi stock market returns. A wide range of Vector autoregression (VAR) and generalized autoregressive conditional heteroskedasticity (GARCH) models estimated and interpreted. A Johansen-Juselius cointegration test indicates a positive long run relationship between the Saudi stock price index and the M2 money supply, bank credit, and the price of oil, and a negative long run relationship with the M1 money supply, the short term interest rate, inflation, and the U.S. stock market. An estimated vector error correction model (VECM) suggests significant unidirectional short run causal relationships between Saudi stock market returns and the money supply and inflation. The VECM also finds a significant long run causal relationship among the macroeconomic variables in the system. The estimated speed of adjustment indicates that the Saudi stock market converges to the equilibrium within half a year. Granger causality tests show no causal relationship between Saudi stock market returns and the exchange rate. Impulse response function analysis shows no significant relationship between Saudi stock market returns and the macroeconomic variables. Forecast error variance decompositions suggest that 89% of the variation in Saudi stock market returns is attributable to its own shock, which implies that Saudi stock market returns are largely independent of the macroeconomic variables in the system. Finally, a GARCH-X model indicates a significant relationship between volatility of Saudi stock returns and short run movements of macroeconomic variables. Implications of this study include the following. (i) Prediction of stock market returns becomes more difficult as the volatility of the macroeconomic variables increases in the short run. (ii) Investors should look at the systematic risks revealed by these macroeconomic variables when structuring their portfolios and diversification strategies. (iii) Policymakers should seek to minimize macroeconomic fluctuations considering the effect of macroeconomic variables changes on the stock market when formulating economic policy.
Rafiq, Shuddhasattwa. "Oil consumption, pollutant emission, oil proce volatility and economic activities in selected Asian Developing Economies." Thesis, Curtin University, 2009. http://hdl.handle.net/20.500.11937/693.
Повний текст джерелаMelcher, Ota. "Spekulační aktivita na trhu s ropou a její vliv na cenu komodity." Doctoral thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-261935.
Повний текст джерелаGolubeva, Ana. "Ekonometrinis Baltijos šalių bendrojo vidaus produkto modeliavimas." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2012. http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2012~D_20120723_102646-72088.
Повний текст джерелаThe gross domestic product of the Baltic States – Lithuania, Latvia and Estonia, has been examined in the master thesis. Trends of the GDP and the main macroeconomic indicators – gross final consumption expenditure, imports and exports of goods and services, investment, labor force and GDP deflator have been analyzed. The definitions of these indicators and an economic sense, as well as researchers' experience in modeling, have been examined. In order to establish the relationship between these variables, analysis of the correlation and Granger causality test has been performed. In particular, modeling started with the finding of the long – term relationship between selected indicators. After that the error correction model has been specified and the accuracy of this model has been estimated. After the examination of the practical and theoretical aspects, the conclusions and recommendations have been presented. Structure: introduction, analytical – methodical part, research part, conclusions and suggestions, references. Thesis consists of: 112 p. text without appendixes, 60 pictures, 35 tables, 28 bibliographical entries. Appendixes included.
Hou, Xiaofang, and Weirui Xu. "The Impact of Overseas Stock Markets on Chinese Stock Markets at the Background of Financial Crises : From the Perspective of Price Index." Thesis, Umeå universitet, Företagsekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-82853.
Повний текст джерелаKhalil, Rosette. "Finance alternative : quels sont les avantages?" Thesis, Pau, 2021. http://www.theses.fr/2021PAUU2090.
Повний текст джерелаSocially Responsible Investing (SRI) which is described as “ethical”, “green” or “sustainable” investing is established on a similar principal which is based on the principle of ESG investments. Thus, Islamic finance, through the sector filtering it imposes, represents an interesting socially responsible investment option. It is considered that through sustainable development, the objectives of SRI and Islamic finance are converged. Created in January 2009, by “Satoshi Nakamoto”,many virtual currencies like Bitcoin are strongly interested to be a part of the services portfolio of the Islamic Financial system.The thesis is divided into four chapters. In the first chapter, we illustrate the history and the expansion of Islamic finance worldwide. We show the growth in terms of Islamic finance in Muslim countries and non-Muslim countries as well. Wealso mention the main transactions applied by Islamic financial institutions and which are based on the Islamic law “Shariah”. We mention accordingly in a simplified manner the prohibited items in Islam.In the second chapter, we study the efficiency of 41 pure Islamic banks operating in in 5 GCC countries for the period 2004 and 2017. We estimate the cost efficiency of our banks by considering three inputs and three outputs. We rely on twoorientations which differentiate in terms of constraints: input orientation and output orientation. In order to do this, we rely on the cost stochastic frontier and data envelopment method. From our results, we see that the Islamic banks operating in the GCC region do not operate on the efficient cost frontier maybe due to managerial inefficiency and misuse of production factors. The use of the output-oriented does not change the obtained results significantly. In this context, the results showed that the efficiency scores could not be explained solely by financial ratios, as they are related to external factors corresponding to the X-inefficiency and economic environment.In the third chapter, we study the characteristics of Bitcoin as a virtual currency versus four Islamic indices. We rely on Garch family models to detect the level and the persistence of volatility during the period 2010 until 2018. We also rely onthe Markov switching model to study the duration of persistence of the indices during low risk regime and high risk regime. From our results, we notice that Islamic indices and Bitcoin are not immune to financial shocks. However, thevolatility persistence of Bitcoin is more important than the case of Islamic stock market. In addition, we confirm the role of Bitcoin as a hedge during normal moments and as a safe haven during moment of anxiety.In the fourth chapter, we study the interaction between three Islamic indices versus their sustainable counterparts. We apply the autoregressive distributed lag model to see the existence of the short-run and long-run relationship between theindices. In the second step, we use the Domain frequency causality to study the dynamic causality and its directness between each Islamic index and its counterpart. Our results show the existence of a long-run equilibrium and the position of the stock markets as complements mainly on the short term and substitutes on the long-term. The “frequency-byfrequency” causality outputs show the existence of a causal relationship on the Short-term between the three sustainable stock market and their Islamic counterparts
Keir, Warren Neill. "Voter behaviour and constitutional change in Australia since 1967." Thesis, Queensland University of Technology, 2009. https://eprints.qut.edu.au/31139/1/Warren_Keir_Thesis.pdf.
Повний текст джерелаSanchez, Roberto. "Application des Bond graphs à la modélisation et à la commande de réseaux électriques à structure variable." Phd thesis, Ecole Centrale de Lille, 2010. http://tel.archives-ouvertes.fr/tel-00690633.
Повний текст джерелаGil, Vera Carina Lopes Gonçalves. "Impacto do preço do petróleo no mercado accionista dos Estados Unidos, França, Holanda, Bélgica e Portugal : análise por sector de actividade." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/10189.
Повний текст джерелаA presente investigação que contribui para o conhecimento da relação entre o preço do petróleo e o retorno do mercado accionista norte-americano estruturando-se em torno das seguintes questões: (1) As variações do preço do petróleo têm impacto no retorno do mercado accionista?; (2) As variações do preço do petróleo têm impacto no retorno dos sectores?; (3) Quando existem efeitos estes são assimétricos?; e (4) Existe causalidade de Granger? Usando dados do DataSream Advance para o período de 1 de Janeiro de 2000 a 31 de Março de 2011 de dez sectores de actividade do índice S&P 500 e do preço do Petróleo (WTI) foi estimado o modelo de mercado (por sectores) e o modelo de preços de dois factores (mercado e petróleo). Testou-se a assimetria entre as variáveis, assim como a Causalidade de Granger. Conclui-se através do modelo de mercado que o índice S&P 500 explica as variações dos sectores. Quando introduzida a variável designada por a variação inesperada no preço do petróleo e aplicado o modelo de dois factores verifica-se a existência de relação entre as variações do preço do petróleo e alguns sectores. Os sectores que apresentam uma associação positiva são o da Energia e o dos Materiais e uma associação negativa os sectores da Saúde, Consumo Básico, Telecomunicações e Consumo Discricionário. Em relação à existência de efeitos assimétricos os testes efectuados permitem concluir pela existência de simetria entre o impacto das variações do preço petróleo e as rendibilidade sectoriais.
This research contributes to the knowledge of the relationship between oil prices and the return on U.S. stock market. The main research questions are: (1) Do changes in oil prices have an impact on overall stock market returns?; (2) Do changes in oil prices impact on sectorial stock market returns?; (3) When there are effects, are they asymmetrical?; and (4) Is there evidence for Granger causality? The research uses DataStream Advance 4.0 data for the period between the 1 January 2000 and 31 March 2011, for oil price (WTI) and ten activity sectors (S&P 500 index). Market models (by sector) and Two Factor ?market and oil? Princing Model are estimated. The asymmetry effects between the variables, as well as the Granger Causality are also studied. It is concluded through the market model that the S&P 500 index explains the variations of the sectors. A strong relation between the oil price variations and the returns on some sectors are found when an expected variation in oil price is considered and the Two Factors model is applied. Energy and Materials present a positive association while Health Care, Consumer Staples, Telecommunications and Consumer Discretionary present a negative association. Regarding the existence of asymmetric effects, tests provide evidence that there is symmetry between the impact of oil price variations and the sector returns. Concerning the Granger Causality Test, the only significant relationship found between oil prices and the return on the sectors was for the Telecommunications sector and only from the eighth week on.
Prague, Mélanie. "Utilisation des modèles dynamiques pour l'optimisation des traitements des patients infectés par le VIH." Thesis, Bordeaux 2, 2013. http://www.theses.fr/2013BOR22056.
Повний текст джерелаMost HIV-infected patients viral loads can be made undetectable by highly active combination of antiretroviral therapy (cART), but there are side effects of treatments. The use of dynamic mechanistic models based on ordinary differential equations (ODE) has greatly improved the knowledge of the dynamics of HIV and of the immune system and can be considered for personalization of treatment. The aim of these PhD works is to improve the statistical techniques for estimating parameters in dynamic mechanistic models so as to elaborate strategies for monitoring and optimizing treatments. We present an algorithm and program called NIMROD using Bayesian inference based on the maximization of the penalized likelihood. Then, we show the power of dynamic mechanistic approaches for the evaluation of treatment effects compared to methods based on the descriptive analysis of the biomarkers trajectories. Next, we build the “target cells model “, an ODE system of the dynamics between the HIV and CD4. We demonstrate it has good predictive capabilities. We build a proof of concept for drug dose individualization. It consists in tuning the dose of the patient based on his reaction to the previous doses using a Bayesian update procedure. Finally, we introduce the possibility of designing an individualized change of cART. This work involves the quantification of in vivo effects of cART using in vitro antiviral activity indicators. We discuss the validity of the results and the further steps needed for the integration of these methods in clinical practice
Gonçalves, Carlos Aurélio Bustamante. "O mercado de caminhões no Brasil: um estudo econométrico dos determinantes das vendas de veículos." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/17541.
Повний текст джерелаRejected by Fabiana da Silva Segura (fabiana.segura@fgv.br), reason: Boa Noite, Prezado Carlos Peço corrigir alguns itens de formatação conforme segue: - Excluir o acento do nome Getulio nas páginas - Nome deve ser em maiúsculo (alternar, nas páginas que tiver o nome) - Titulo também em fonte maiúscula (alterar nas páginas que contém o título) - No rodapé permanece somente São Paulo - excluir o - SP - Linha de Pesquisa: Finanças e Economia de Empresas, alterar nas páginas que contém a lnha - Excluir na contra capa abaixo no nome do orientado FGV - EAESP - Folha de Assinaturas, alterar a linha de pesquisa e colocar a data de aprovação: 17/11/2016 Peço proceder com as alterações e submeter o trabalho novamente on 2016-12-01T23:28:13Z (GMT)
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Este estudo trata do comportamento da demanda por caminhões novos no Brasil no período de 1996 a 2015 e da investigação dos fatores que a influenciam. Tal questão é relevante devido à escassez de estudos acerca deste tema, ainda que se trate do modo historicamente predominante de transporte de carga no país. O objetivo de pesquisa é determinar e quantificar os fatores que provocam o aumento ou diminuição das vendas de caminhão no Brasil. Para atingir este objetivo, foram construídos modelos econométricos a partir de dados secundários. Proxies utilizadas em outros modelos de demanda automotiva foram confirmadas e refinadas, enquanto novas proxies foram introduzidas com sucesso. Quanto aos resultados, este estudo inovou ao identificar três tipos de determinantes, e ao detalhar os efeitos e defasagens de suas influências: variáveis relacionadas especificamente ao mercado de caminhões, variáveis relacionadas ao PIB e variáveis relacionadas à confiança do comprador. Adicionalmente, realizou-se uma verificação da causalidade entre crédito e vendas, com o surpreendente resultado de que a influência ocorre no sentido de vendas para crédito. Com estes resultados, este estudo dissemina o conhecimento a respeito do comportamento do mercado a toda a cadeia produtiva, melhorando a qualidade das decisões e proporcionando aumento da eficiência para o sistema como um todo.
This is a study on the demand for new trucks in Brazil from 1996 to 2015, and an investigation on the factors that influence it. This topic is relevant due to the scarcity of studies concerning the subject, and due to the overwhelming domination of trucks in cargo transport in Brazil. It aims identify and quantify the variables that drive the sales of trucks. To reach this goal, econometric models were constructed based on secondary data. Variables usually adopted in other studies on automotive demand were confirmed and even refined and new variables were successfully introduced. This study innovates by identifying three groups of variables, and by detailing the effects and the lags of their influence: variables specific to the truck market, variables related to GDP, and variables related to the decision maker’s confidence. Additionally, a causality analysis involving credit and truck sales was performed, unexpectedly resulting in sales causing credit. Through these results, this study disseminates knowledge about the behavior of the truck market to the entire productive chain, contributing to evolve the quality of decisions and the efficiency of the entire system.
Ben-David, Shoham. "Applications of Description Logic and Causality in Model Checking." Thesis, 2009. http://hdl.handle.net/10012/4485.
Повний текст джерелаTsai, Min-hsiang, and 蔡名翔. "Gray Multi-Attribute Decision Model of Sapphire Polishing process parameter optimization." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/02976720793041300879.
Повний текст джерелаDai, Ru-Mei, and 戴如美. "The Impact of Model Assumption for Analyzing the Causality between Variables." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/02048644163171381980.
Повний текст джерела國立交通大學
統計學研究所
93
In daily life or biological gene, there always exists variables which inference other variables or are influenced by some others. In this paper, our main goal is to analyze the variables which have causality by using statistical methods, to determine the directionality among causality graphs, and to find out the impact of model assumption on those methods. In this field, lots of scientists and statisticians have proposed several methods, for example, linear models (D’haeseleer et al., 1999), nonlinear models (Weaver et al., 1999), and Boolean networks (Kauffman 1993, Somogyi and Sniegoski, 1996), etc. However, there should be some assumptions in all of these models. Murphy and Mian (1998) and Friedman et al. (1999) have suggested that use Bayesian network models of gene expression networks to get some improvements. In this paper, we discuss the concept of Bayesian’s method and using likelihood functions to analyze the causality between two and three variables. We hope to determine the direction between variables.
Chung, Yi-Ru, and 莊鐿茹. "Predicting Stock Returns with Investor Sentiment—Using Bootstrap Panel Granger Causality Model." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/49163825524138084295.
Повний текст джерела嶺東科技大學
企業管理系碩士在職專班
103
This paper investigates potential Granger causality between the Investor Sentiment and Stock Returns in 20 stock markets for the period between 2000 and 2013. A new panel-data approach developed in Kónya(2006) which is based on SUR systems and Wald tests with country specific bootstrap critical values is employed in the study. The empirical results indicate that there are four results of causality relationship between Investor Sentiment and Stock Returns, such as(1) Investor Sentiment Granger causes Stock Returns, (2) Stock Returns Granger causes Investor Sentiment, (3) evidence of effects between Investor Sentiment and Stock Returns, and (4)no evidence of effects between Investor Sentiment and Stock Returns. If we examine the next year’s performance, we find “(2) Stock Returns Granger causes Investor Sentiment” is greater than “(4)no evidence of effects between Investor Sentiment and Stock Returns”, which is greater than “(3) evidence of effects between Investor Sentiment and Stock Returns”, which is greater than“(1) Investor Sentiment Granger causes Stock Returns”
"Using a model of human cognition of causality to orient arcs in structural learning." GEORGE MASON UNIVERSITY, 2009. http://pqdtopen.proquest.com/#viewpdf?dispub=3343811.
Повний текст джерелаShao, Pei-chiang, and 邵培強. "A Study on the Causality between the Signals of Neurons by the Autoregressive Model." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/27459996057994492040.
Повний текст джерела國立中央大學
數學研究所
99
In this study, we take the neural data which recorded signals from anterior cingulate cortex (ACC) and striatum (STR) during the period of acute quinpirole administration in anesthetized rats as an example, to make inferences on the connections between neurons by determining causality in time series. The results show that, (1) The neurons in ACC were linked before quinpirole administration, and there was a steady increase in the intensity of these linkage after quinpirole administration. (2) There were no significant causal relationships between STR neurons before nor after quinpirole administration.(3) There were no significant causal relationships between ACC and STR neurons before quinpirole administration, but information flows from ACC to STR arose after quinpirole administration. Because of the low intensity of these information flows, we conjecture that the connections between ACC and STR neurons are mediated by some undetected neurons. Finally, neurons were classified into "source", "middle" and "target" three groups according to the order of information delivery. And we construct individually a neural subnetwork before and after quinpirole administration.
Liu, Yong-Ting, and 劉詠庭. "The Price-Volume Variance Causality Test on the Chinese Stock Market- EC-GARCH Model." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/00702570433708976826.
Повний текст джерела國立臺北大學
國際企業研究所
100
This study investigates on the variance causality by applying the Exponential Causality multivariate GARCH (EC-GARCH)model, which was introduced by Massimiliano Caporin in 2007. The main structure of this model is an exponential factor multiplying the traditional GARCH equation to drive the causality relation. This research mainly focuses on the biggest stock exchange of China, selecting return and trading volume of both Shanghai Stock Exchange A Share Index and Shenzhen Stock Exchange A Share Index as our four variables. In addition, used data is weekly data from January 5, 1996 to April 6, 2012 with total 818 observations for each variable. Our purpose is to analyze the variance causality among four variables to provide some useful information for the traders. As the result, by testing on the variance causality between Shanghai Stock Exchange A Share Index and Shenzhen Stock Exchange A Share Index, we find out an unexpected return volatility shock at time t-1 will induce the investors to invest on the stock at the time. The results emphasize the importance of return volatility on predicting the volume change of Shenzhen Stock Exchange A Share Index and Shanghai Stock Exchange A Share Index. The traders in the stock market may realize the volume change from investigating the return volatility.
Srinivasan, V. "Supporting Novelty In Conceptual Phase Of Engineering Design." Thesis, 2010. http://etd.iisc.ernet.in/handle/2005/2266.
Повний текст джерела