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Browsing by Subject "Econometric models"

Browsing by Subject "Econometric models"

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  • Correlation and causation between tourism development and economic growth in Lebanon 
    Samara, Nisrine I. (Notre Dame University-Louaize, 2014)
    The purpose of this thesis is to study the direction of the causality between tourism development and economic growth in Lebanon, and to investigate the existence of a long-run relationship between the two variables. In order to reach our objectives, we estimate a Vector Auto Regression model and apply the Granger causality test. Our findings suggest a unidirectional causality running from economic growth to tourism development thus support the Growth Led Tourism hypothesis. They also identify a positive relationship in the short-run between tourism development and economic growth, and the impulse ...
  • Unit root tests in finance 
    Jreij, Rima (Notre Dame University-Louaize, 2020)
    The knowledge of whether a time series contains a unit root or not provides guidance to determine whether the series is stationary or not. This topic is one that covers vast amount of research given to its importance in the analysis of economic and other time series data. To understand the behavior, the properties of the series and the influence of any shock that occur to the series, stationary and unit root tests were constructed. In this thesis, we first present the Box and Jenkins ARMA models, discuss the conditions for station-arity. Then, we display different method to test autocorrelation. ...
  • Volatility spillover effects among gold, crude oil and US dollar index: an analysis using EGARCH Model 
    Abi Loutfi, Joelle (Notre Dame University-Louaize, 2019-05)
    Purpose: The purpose of this study is to empirically test the level of interdependence between three major assets: Gold, crude oil and USD index in terms of the return volatility spillover effects. This helps investors managing their portfolios and provides them with sense of direction on how to use these assets in portfolio diversification leading to a risk reduction benefits. Design/methodology/approach: Gold, oil and USD index volatilities are estimated using EGARCH (1, 1) model after detecting the stationarity and heteroskedasticity of the sample using the following diagnostic tests: Augmented ...