108 resultados para vector auto regression
Resumo:
kuv., 20 x 27 cm
Resumo:
kuv., 20 x 27 cm
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kuv., 20 x 27 cm
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kuv., 20 x 27 cm
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kuv., 20 x 27 cm
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kuv., 20 x 27 cm
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kuv., 20 x 27 cm
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kuv., 24 x 16 cm
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kuv., 14 x 22 cm
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kuv., 58 x 16 cm
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kuv., 16 x 21 cm
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kuv., 16 x 21 cm
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Työssä käydään läpi tukivektorikoneiden teoreettista pohjaa sekä tutkitaan eri parametrien vaikutusta spektridatan luokitteluun.
Resumo:
The purpose of this thesis was to study commodity future price premiums and their nature on emission allowance markets. The EUA spot and future contracts traded on the secondary market during EU ETS Phase 2 and Phase 3 were selected for empirical testing. The cointegration of spot and future prices was examined with Johansen cointegration methodology. Daily interest rates with a similar tenor to the future contract maturity were used in the cost-of-carry model to calculate the theoretical future prices and to estimate the deviation from the fair value of future contracts, assumed to be explained by the convenience yield. The time-varying dependence of the convenience yield was studied by regression testing the correlation between convenience yield and the time to maturity of the future contract. The results indicated cointegration between spot and future prices, albeit depending on assumptions on linear trend and intercept in cointegration vector Dec-14 and Dec-15 contracts. The convenience yield correlates positively with the time-to-maturity of the future contract during Phase 2, but negatively during Phase 3. The convenience yield featured positive correlation with spot price volatility and negative correlation with future price volatility during both Phases 2 and 3.
