94 research outputs found
Can a simple structural time series model beat the random walk?
No full textThis paper tries to address the question that if the long run PPP holds, then there should exist a structural model which can outperform the random walk in out of sample forecasting. We propose an ARFIMA based model with log of the independent variable as an explanatory variable and make a comparison study of this structural model with the benchmark random walk model. Then, we compare our results with that as obtained by Engel and Hamilton, and by Clarida, Sarno, Taylor and Valente. We present the standard ARFIMA model and show how can make an extension of it so that it becomes a variant of ARFIMA and name it as YQ-ARFIMA, then construct a bivariate model relating the dependent variable yt and ln yt , and with that, perform an impulse response function analysis of the predictive
ability of ln yt . We also transform the YQ-ARFIMA into a moving average representation, and thereafter perform the impulse response function analysis again, then make a comparison study between the standard ARFIMA and the YQARFIMA by comparing the out of sample forecasting ability of each one of them with the benchmark random walk model. After that, compare the performance of YQ-ARFIMA with that of the Markov switching model put forward by Engel and Hamilton, and the MSIH(3)-VECM as put forward by CSTV. Last, we test the robustness of the YQ-ARFIMA by fitting it into different exchange rate series spanning the five continents of the globe, then, test the consistency of the forecast by YQ-ARFIMA by a cointegration technique. By using the loss functions RMSE and MAPE, cointegration
consistency in forecasts and impulse response function analysis, we have shown beyond doubt that theYQ-ARFIMA model is very much superior in forecasting ability
The Nexus between housing glut, economic growth, housing affordability and house price in Malaysia
No full textThis paper analyses [1] the relative impact of housing affordability, housing prices and gross domestic product on housing glut, [2] the effects of housing glut on the health of housing market and then [3] suggestion of solutions to mitigate the risks of housing bubble bursting. Results show that housing affordability and housing price exert very mild effect on housing glut contrary to the common belief that these two factors have significant effect on housing glut. In terms of number, our results show that economic growth contributes about 0.15 negative impact on housing glut for every unit increase in economic growth while each unit increase in housing price can increase housing glut as much as 0.0054 unit
怀旧与记忆 ：陈志锐的诗学记忆 = Nostalgia and memory : reading of Tan Chee Lay’s lyric poetics
No full textTan Chee Lay is one of Singapore’s widely known Singapore Chinese Literature author amongst the younger generations’ authors. He has written numerous works of different genres including poems, prose, novels and even picture books. Instead of focusing on Singapore’s rapid development, Tan Chee Lay chose to pay attention to the grassroots, with hope to portray a more diversified Singapore in his works. As such, “Nostalgia” is one of the main themes of his works.
Being one of the recent authors, research and resources about his works are limited. Hence, this paper aims to analyze the fictional works of Tan Chee Lay using theories such as “Nostalgia” and “Memories”. Identities, localism, diaspora and cultural identity will also be discussed. The cultural development of Singapore, especially during 1970s to 1990s, can be seen when those scattered pieces of memories in his works are pieced together. Through this, what seemed like personal memory can become a collective memory of one generation.
The emotions and feelings encompassed in his works derived mostly from the grassroot society that he once lived in. Though poor and undeveloped, that was a place that was full of meaning and humanity.
Other than analyzing solely on Tan Chee Lay’s fictional works, this paper will put the analysis in the context of Singapore Chinese Literature’s development over the years, so as to see the bridging between the writers of the earlier and younger generations. Critical analysis aside, this paper also explores the philosophical thoughts behind his lyrical works.Bachelor of Arts in Chines
Determination of joint distribution for operating metocean variables for offshore structures
No full textStructural Modelling And Analysis Of The Behavioural Dynamics Of Foreign Exchange Rate [HG3851. Y51 2006 f rb].
No full textTesis ini berkaitan dengan Kadar Wang Pertukaran Asing (KWPA) yang dihasilkan oleh satu regime urusniaga bebas. Pada amnya, kita mengkaji Pemodelan Struktur dan Analisis Tingkahlaku Dinamik Kadar Pertukaran Wang Asing.
This thesis deals specifically with the foreign exchange rates that resulted from free float regimes. In general, we study the structural modelling and analysis of the behavioural dynamics of foreign exchange rates
Structural Modelling And Analysis Of The Behavioural Dynamics Of Foreign Exchange Rate
No full textTesis ini berkaitan dengan Kadar Wang Pertukaran Asing (KWPA) yang dihasilkan oleh satu regime urusniaga bebas.
This thesis deals specifically with the foreign exchange rates that resulted from free float regimes
Difference or not to difference an integrated time series? An empirical investigation
No full textThis paper uses the gross domestic product growth rates of Malaysia,
Thailand, Indonesia and China in an empirical examination to
determine whether an integrated time series should be differenced
before it is used for forecasting. The results reveal that Mallows model
combination (M.M.A.) of original and differenced series is a better
choice than just differencing the series only if the perturbation
instability measure is more than 1.25 for autoregressive (A.R.) model,
and 1.105 for moving average (M.A.) model and autoregressive
fractional integrated moving average (A.R.F.I.M.A.) model.
Furthermore, it is found that M.M.A. performs better in forecasting
with better model stability for the case of M.A. and A.R.F.I.M.A. than
A.R. However, M.M.A. is very sensitive in financial crisis
An empirical investigation on the forecasting ability of Mallows Model Averaging in a macro economic environment
No full textThis paper investigates the forecasting ability of Mallows Model Averaging (MMA) by conducting an empirical analysis of five Asia countries, Malaysia, Thailand, Philippines, Indonesia and China's GDP growth rate.Results reveal that MMA has no noticeable differences in predictive ability compared to the general autoregressive fractional integrated moving average model(ARFIMA) and its predictive ability is sensitive to the effect of financial crisis. MMA could be an alternative forecasting method for samples without recent outliers such as financial crisis
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