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Browsing FACULTY OF BUSINESS ADMINISTRATION & ECONOMICS by Subject "Econometric models"

Browsing FACULTY OF BUSINESS ADMINISTRATION & ECONOMICS by Subject "Econometric models"

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  • 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 ...
  • 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 ...

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