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Untersuchung von Kapitalmarktdaten mit Hilfe der Granger-Kausalität by Henke, Thomas

Untersuchung von Kapitalmarktdaten mit Hilfe der Granger-Kausalität

by Thomas Henke
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Book cover type: Paperback
  • ISBN13: 9783838614977
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Diplom.de
  • Publisher Imprint: Diplom.de
  • Publication Date:
  • Pages: 120
  • Original Price: GBP 73.5
  • Language: German
  • Edition: N/A
  • Item Weight: 168 grams
  • BISAC Subject(s): General

Inhaltsangabe: Einleitung: Zentraler Bestandteil der Diplomarbeit ist die Analyse und Prognose von Aktienindizes. Wichtige Fragen, die in diesem Zusammenhang beantwortet werden, sind: Wie kann eine Analyse und Prognose von Aktienindizes aufgebaut werden? Lassen sich derartige Prognosen durch Erweiterungen verbessern? Sind erzielte Verbesserungen statistisch signifikant? Können Beziehungen zwischen internationalen Indizes herausgearbeitet werden? Gang der Untersuchung: Zur Beantwortung dieser Fragen gliedert sich die Arbeit in zwei Teile. Der erste theoretisch gelagerte Abschnitt umfa t die Kapitel 2 und 3, der zweite praxisorientierte Abschnitt wird durch die Kapitel 4 und 5 bestimmt. Ausgangspunkt der Untersuchung ist die Darstellung zeitreihenanalytischer Grundlagen und Modelle im Kapitel 2. Es werden autoregressive Modelle und deren wesentliche Eigenschaften vorgestellt, sowie die Erweiterung zu vektorautoregressiven Modellen (VAR). Im Kapitel 3 wird unter Verwendung der VAR-Modelle das Konzept der Granger-Kausalität erläutert. Neben einer allgemeinen Definition wird auf ein Testverfahren eingegangen. Den Abschlu dieses Kapitels bilden kritische Anmerkungen zu diesem Konzept. Im folgenden Kapitel 4 steht die Datenbeschreibung im Vordergrund. Erläutert werden die Datenherkunft und -auswahl, sowie die Aufbereitung der Daten. Zur Unterstützung der Arbeitsschritte wird das Programmpaket SAS (Statistical Analysis System) verwendet, das auch im Kapitel 5 die Datenanalyse erleichert. Das 5. Kapitel ist die Zusammenführung aller vorangegangenen Abschnitte. Die in Kapitel 2 und 3 dargestellten Konzeptionen werden in hier auf die in Kapitel 4 beschriebenen und aufbereiteten Zeitreihen angewendet. Es erfolgt die Testdurchführung zum Nachweis der Granger-Kausalität. Im Punkt 5.2 werden die Untersuchungsergebnisse zusammengefa t. Die so gewonnenen Erkenntnisse werden in 5.3 zur Prognose eines Aktienindexes verwendet. Abschlie end erfolgt ebenfalls eine kritische Würdig

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