In this paper, we derive the asymptotic distribution of the Augmented Dickey-Fuller t Test statistics, t_{ADF}, against a generalized fractional integrated process (for example: ARFIMA(p,1+d,q) ,|d|<1/2,and p, q be positive integer) by using the propositions of Lee and Shie (2003). Then we discuss why the power decreases with the increasing lags in the same and large enough sample size T when d is unequal to 0. We also get that the estimator of the disturbance's variance, S^2, has slightly increasing bias with increasing k. Finally, we support the conclusion by the Monte Carlo experiments.

Housing bubbles could have a great impact on the economy of a country, especially for a country as large as China. Therefore, it is necessary to evaluate the housing bubble situation of a region. Based on the classification of cities, this research has selected Yangzhou as the main research sample to predict the overall situation of housing bubble in third-level cities in China. The paper integrates the relevant theories and methods of the housing bubble research mentioned in the literature, and seeks out a set of suitable real estate bubble research methods: using ADF test, EG cointegration analysis to see whether the indicators are suitable as variables in the Granger causality test and regression analysis, and then perform regression analysis on the appropriate variables and housing prices to judge the real estate bubble. Also, the result of Yangzhou is applied to compare with that of Beijing and Shanghai so as to get the difference of real estate markets between first- and third-level cities. / Bostadsbubblor kan ge allvarlig inverkan på ett lands ekonomi, särskilt för ett så stort land som Kina. Därför är det nödvändigt att utvärdera om eventuella bostadsbubblor förekommer i olika regioner. I detta arbete analyseras förekomsten av en bostadsbubbla i en av Kinas städer i den tredje storleksklassen enligt det kinesiska klassificeringssystemet. Studieobjektet som valts är Yangzhou. I uppsatsen diskuteras de relevanta teorier och metoder som förekommer i litteraturen för analys av bostadsbubblor och ett antal metoder tillämpas. ADF-test och Engel-Grainer-kointegration används för att avgöra vilka av de tillgängliga marknadsindikatorerna som är lämpliga att använda vid test av Granger-kausalitet och i regressionsanalyser. Regressioner med de utvalda variablerna görs sedan mot bostadspriser för att erhålla mått på förekomsten av en bostadsbubbla. De empiriska resultaten från studien jämförs också med resultat för Beijing and Shanghai för att påvisa skillnader mellan marknaderna i städer av första respektive tredje storleksklassen.

Šiame darbe yra supažindinama su stacionarumo ir kointegracijos sąvokomis, nagrinėjami kriterijai stacionarumui ir kointegravimui patikrinti, kadangi tai sudaro pagrindą portfelių, kurie atkartoja indeksą, konstravimui. Sukonstruoti kointegruoti su indeksu portfeliai yra palyginami tarpusavyje. Darbo tikslas susipažinti su kointegracijos ryšiais finansų teorijoje, bendra portfelių konstravimo metodika, pagrįsta kointegracija, ir pritaikymu realių rinkos akcijų investicinių portfelių sudarymui. Šiam tikslui panaudojama MathCad matematinė programinė įranga, leidžianti braižyti grafikus, spręsti tiesinius, netiesinius ir kitus programavimo uždavinius, reikalingus portfelio konstravimo realizavimui. / In this study there is realized a model of constructing portfolios by using mathematical programming language MathCad. Much attention is paid to explore the portfolios which are modeled to track an index. If tracking portfolio and index are cointegrated together, portfolio can not drift too far from the index because the tracking error is mean-reverting. This study should help us to decide in what way it is better to allocate our funds when choosing portfolio for tracking the index.

This note analyzes the empirical size of the augmented Dickey and Fuller (ADF) statistic proposedby Perron and Rodríguez (2003) when the errors are fractional. This ADF is based on a searching procedure for additive outliers based on first-differences of the data named td. Simulations show that empirical size of the ADF is not affected by fractional errors confirming the claim of Perron and Rodríguez (2003) that the procedure td is robust to departures of the unit root framework. In particular the results show low sensitivity of the size of the ADF statistic respect to the fractional parameter (d). However, as expected, when there is strong negative moving average autocorrelation or negative autoregressive autocorrelation, the ADF statistic is oversized. These difficulties are fixed when sample increases (from T = 100 to T = 200). Empirical application to eight quarterly Latin American inflation series is also provided showing the importance of taking into account dummy variables for the detected additive outliers. / En esta nota se analiza el tamaño empírico del estadístico Dickey y Fuller aumentado (ADF), propuesto por Perron y Rodríguez (2003), cuando los errores son fraccionales. Este estadístico se basa en un procedimiento de búsqueda de valores atípicos aditivos basado en las primeras diferencias de los datos denominado td. Las simulaciones muestran que el tamaño empírico del estadístico ADF no es afectado por los errores fraccionales confirmando el argumento de Perron y Rodríguez (2003) que el procedimiento td es robusto a las desviaciones del marco de raíz unitaria. En particular, los resultados muestran una baja sensibilidad del tamaño del estadístico ADF respecto al parámetro fraccional (d). Sin embargo, como es de esperar, cuando hay una fuerte autocorrelación negativa de tipo promedio móvil o autocorrelación autorregresiva negativa, el estadístico ADF tiene un tamaño exacto mayor que el nominal. Estas dificultades desaparecen cuando aumenta la muestra (a partir de T = 100 a T = 200). La aplicación empírica a ocho series de inflación latinoamericana trimestral proporciona evidencia de la importancia de tener en cuenta las variables ficticias para controlar por los outliers aditivos detectados.

Bakgrund och Problem: Aktiemarknaden påverkas både av inhemska och utländska faktorer. Därför är det av intresse att se vilka makroekonomiska variabler som påverkar den svenska aktiemarknaden. Anledningen till att Sverige har valts som den geografiska punkten är att det är av intresse att se hur ett litet land som Sverige, som har en öppen ekonomi påverkas av de utvalda makroekonomiska variablerna. Syfte: Syftet med uppsatsen är att med hjälp av information samt analys, studera hur de olika makroekonomiska variablerna påverkar den inhemska aktiemarknaden. Olika faktorer som påverkar aktiemarknaden kommer att lyftas fram för att i sin tur även se till de olika branscherna. Metod: Då data enbart består av hämtning av tidigare information fokuseras det enbart på sekundärdata i form av historiska siffror samt historiska undersökningar. De statistiska tester som tillämpas är Granger Causality test, Johansens Cointegration test, Impulse Response Function test, ADF test, KPSS test, Mulitpel regression. Slutsats: Med de resultat som presenterades i denna studie, skulle vi nog inte kunna säga att vi har ett svar över vilka aktier en investerare ska införskaffa. Dock skulle vi kunna poängtera att den potentiella investeraren bör ha dessa variabler i beaktning vid beslut. Genom att studera dessa variabler kan man få en känsla om vilket håll variablerna kommer att röra sig och på så sätt säga att de kan påverka aktieindexen. Att bara kolla på de makroekonomiska variabler som denna studie belyser räcker inte för att förstå hur aktieindex kommer att se ut i framtiden, men det är en bit på vägen till att förstå aktiemarknadens rörelse.

In this thesis, an analysis of Bitcoin, Monero price and volatility is conducted with respect to S&amp;P500 and the VIX index. Moreover using Python, we computed correlation coefficients of nine cryptocurrencies with two different approaches: Pearson and Spearman from July 2016 -July 2018. Moreover the Pearson correlation coefficient was computed for each year from July2016 - July 2017 - July 2018. It has been concluded that in 2016 the correlation between the selected cryptocurrencies was very weak - almost none, but in 2017 the correlation increased and became moderate positive. In 2018, almost all of the cryptocurrencies were highly correlated. For example, from January until July of 2018, the Bitcoin - Monero correlation was 0.86 and Bitcoin - Ethereum was 0.82.

Submitted by Marcos Souza Ferreira (mferreira@poli.ufrj.br) on 2016-07-27T13:57:40Z No. of bitstreams: 1 FERREIRA M - BUBBLE DETECTION IN BRAZILS STOCK MARKET.pdf: 405486 bytes, checksum: 54cd37d39ac7269f0a808b0e73addedb (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Marcos, boa tarde Por gentileza, verificar a numeração das páginas. Está correto, elas aparecerem a partir da Introdução, porém, não deve se iniciar pela página 1. Por exemplo, se a Introdução é na página 11, incluir a partir da página 11. Em seguida submeter novamente o arquivo. Att on 2016-07-28T15:38:39Z (GMT) / Submitted by Marcos Souza Ferreira (mferreira@poli.ufrj.br) on 2016-07-28T16:49:04Z No. of bitstreams: 1 FERREIRA M - BUBBLE DETECTION IN BRAZILS STOCK MARKET_2.pdf: 684136 bytes, checksum: a1699da4f25b85c408c1bb37a9f00b99 (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2016-07-28T16:58:52Z (GMT) No. of bitstreams: 1 FERREIRA M - BUBBLE DETECTION IN BRAZILS STOCK MARKET_2.pdf: 684136 bytes, checksum: a1699da4f25b85c408c1bb37a9f00b99 (MD5) / Made available in DSpace on 2016-07-28T17:28:22Z (GMT). No. of bitstreams: 1 FERREIRA M - BUBBLE DETECTION IN BRAZILS STOCK MARKET_2.pdf: 684136 bytes, checksum: a1699da4f25b85c408c1bb37a9f00b99 (MD5) Previous issue date: 2016-06-28 / Considering the importance of the proper detection of bubbles in financial markets for policymakers and market agents, we used two techniques described in Diba and Grossman (1988b) and in Phillips, Shi, and Yu (2015) to detect periods of exuberance in the recent history of the Brazillian stock market. First, a simple cointegration test is applied. Secondly, we conducted several augmented, right-tailed Dickey-Fuller tests on rolling windows of data to determine the point in which there’s a structural break and the series loses its stationarity.

Made available in DSpace on 2016-03-15T19:30:44Z (GMT). No. of bitstreams: 1 Andre Wakamatsu.pdf: 3217691 bytes, checksum: 1c24d8cfb446c335c1b83266a22241de (MD5) Previous issue date: 2011-02-17 / Fundo Mackenzie de Pesquisa / The competitive strategy of a firm is defined by choosing one alternative over the rivals, from differentiated activities set to deliver a product or service (strategic positioning). If firms cooperate or collude with each other, they don t have choices conflict and the strategy would not be necessary. To verify if several firms in the same market are in collusion, the responsible economic defense agencies considers the hypothesis that firms are in monopolistic competition (known as the hypothetical monopolist approach). Coe, Krause (2008) made an empirical study with the methods commonly used to evaluate the price-based approaches using synthetic data obtained from a market simulation with differentiated products. However,the authors consider a market structure where firms try to maximize profit without the constraint that, in long run, economic profit is zero. The aim of this work was to generate synthetic data considering the monopolistic competition and analyze if two econometric tests,Augmented Dickey-Fuller (ADF) and co-integration, can be used to delimitate this market structure. Since it was considered that the market consists of firms that have products with substitutes, the trends of the firms prices was stationary over time and therefore the price series should be correlated and co-integrated. In addition, it was analyzed what would happen to the equilibrium prices when an importing company, for example, a product that would be considered a substitute by the consumers, but had no problems related to the increased cost of production in the domestic market. It was observed that the importing firms, when its price was lower than that the other firms in the domestic market, tend to slow the increase of the firms price. / A estratégia competitiva de uma empresa significa escolher uma alternativa em relação aos concorrentes, a partir de um conjunto diferenciado de atividades, para a entrega de um produto ou serviço de valor único (posicionamento estratégico). Se as empresas não tivessem conflito de escolhas, a estratégia não seria necessária. Uma forma delas não terem conflito de escolha é ter uma conduta de cooperação ou conluio. Para se verificar se diversas empresas em um mesmo mercado estão em colusão, os órgãos responsáveis pela defesa econômica considera a hipótese de que as empresas estão em concorrência monopolística (conhecida como abordagem do monopolista hipotético). Coe; Krause (2008) fizeram um estudo empírico com relação aos métodos comumente utilizados para avaliar as abordagens baseadas em preço por meio do uso de dados sintéticos obtidos de uma simulação de um mercado com produtos diferenciados. Entretanto, os autores consideraram uma estrutura de mercado em que as empresas tentam maximizar o lucro, sem a restrição de manter o lucro econômico igual a zero. Neste trabalho, a proposta foi gerar dados sintéticos considerando que as empresas estão em competição monopolística e analisar se dois testes econométricos, Dickey-Fuller ampliado (ADF) e co-integração, servem para delimitar este tipo de estrutura. Uma vez que foi considerado que o mercado é composto de empresas que tem produtos substitutos próximos, a evolução dos preços exercidos pelas empresas foi estacionária ao longo do tempo e, portanto, as séries dos preços eram correlacionadas e co-integradas. Além disso, também foi analisado o que ocorreria com os preços de equilíbrio quando uma empresa importadora, por exemplo,importasse um produto que seria considerado um substituto direto pelos consumidores, mas não tivesse os problemas relacionados ao aumento do custo de produção no mercado nacional.Foi observado que uma empresa importadora, quando exerce um preço menor do que o exercido pelas empresas do mercado nacional, tende a diminuir o ritmo de aumento do preço das outras empresas, disciplinando-as.

Ghana faces a macroeconomic problem of inflation for a long period of time. The problem in somehow slows the economic growth in this country. As we all know, inflation is one of the major economic challenges facing most countries in the world especially those in African including Ghana. Therefore, forecasting inflation rates in Ghana becomes very important for its government to design economic strategies or effective monetary policies to combat any unexpected high inflation in this country. This paper studies seasonal autoregressive integrated moving average model to forecast inflation rates in Ghana. Using monthly inflation data from July 1991 to December 2009, we find that ARIMA (1,1,1)(0,0,1)12 can represent the data behavior of inflation rate in Ghana well. Based on the selected model, we forecast seven (7) months inflation rates of Ghana outside the sample period (i.e. from January 2010 to July 2010). The observed inflation rate from January to April which was published by Ghana Statistical Service Department fall within the 95% confidence interval obtained from the designed model. The forecasted results show a decreasing pattern and a turning point of Ghana inflation in the month of July.

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