Show simple item record

dc.contributorChuliá Soler, Helena
dc.contributor.authorGuo, Minfang
dc.contributor.otherUniversitat de Barcelona. Departament d'Econometria i Estadística
dc.date.accessioned2019-11-14T12:29:21Z
dc.date.issued2019-10
dc.identifier.urihttp://hdl.handle.net/2117/172417
dc.description.abstractIn this thesis, we study on the one hand, the Economic and Policy Uncertainty (EPU) indexes for China, Hong Kong (region) and the United States; on the other hand, the Stock market indexes in these three markets and their corresponding indexes are the SSEC index, the HSI and the S&P 500 respectively. We not only apply the Box-Jenkins methodology to analyze time series datasets, but also apply the Dynamic Conditional Correlation (DCC) model to estimate the conditional correlation between these three analyzed markets. We use the EPU index for China as a reference, as well as the SSEC index. First, we compare the EPU index for China with EPU index for Hong Kong (region) and the United States. Afterward, we compare the SSEC index with the HSI and the S&P 500. Finally, we try to find a relationship between EPU indexes and their corresponding stock market indexes.
dc.language.isoeng
dc.publisherUniversitat Politècnica de Catalunya
dc.publisherUniversitat de Barcelona
dc.subjectÀrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica
dc.subject.lcshMathematical statistics
dc.subject.otherEPU index
dc.subject.otherStock market index
dc.subject.otherDCC-GARCH
dc.subject.otherChina
dc.titleAnalysis of the economic and policy uncertainty and the stock market Index in China
dc.typeMaster thesis
dc.subject.lemacEstadística matemàtica
dc.subject.amsClassificació AMS::62 Statistics
dc.identifier.slugFME-1738
dc.rights.accessRestricted access - author's decision
dc.date.lift10000-01-01
dc.date.updated2019-10-17T05:38:10Z
dc.audience.educationlevelMàster
dc.audience.mediatorUniversitat Politècnica de Catalunya. Facultat de Matemàtiques i Estadística
dc.audience.degreeMÀSTER UNIVERSITARI EN ESTADÍSTICA I INVESTIGACIÓ OPERATIVA (Pla 2013)


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record