Testování kointegrace mezi odvětvovými indexy akciového trhu
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Šafarčík, Jan
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Vysoká škola báňská - Technická univerzita Ostrava
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Abstract
The thesis is about testing of Cointegration among Sectoral Stock Market Indexes. The thesis is divided into five parts. The first part is an introduction, the second and the third part contains the necessary theory for developing a practical chapter four. The fourth chapter contains an application ADF test PP test and Johansen test on real data. The fifth chapter contains a summary of the results processed in the thesis.
Description
Import 22/07/2015
Subject(s)
Engle – Granger test, Dickey – Fullerův test, stacionarity testing, Johansen test, VEC model, Vector error corection model, cointegration