Search results for "KPSS – Kvjatkovski tests"

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VAR modeļu un kointegrācijas analīzes pielietojums zelta cenas analīzē

2017

Darbs tiek veltīts kointegrācijai un kļūdas korekcijas modelim. Darbā dots ieskats par vienības saknes testiem, vektoru autoregresijas vienādojumiem, kointegrāciju, kļūdu korekciju modeļiem. Metodes tika pielietotas pētot sakarības starp tādiem valūtu pāriem kā zelts pret ASV dolāru (XAU/USD) un Šveices franks pret ASV dolāru (CHF/USD). Ar Engla-Greinžera un Johansena metodēm parādīts, ka periodā no 2011. gada maija līdz 2016. gada decembrim pastāv kointegrācija starp iepriekš minētajiem instrumentiem.

ECM – kļūdu korekcijas modelisMatemātikaVAR – vektoru autoregresijaVEC – vektoru kļūdu korekcijaKPSS – Kvjatkovski testsADF - Paplašinātais Dikeja-Fulera tests

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PEPhysical Sciences and Engineering
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LSLife Sciences
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