英文标题：
《An\\\'alisis de cointegraci\\\'on con una aplicaci\\\'on al mercado de deuda
en Estados Unidos, Canad\\\'a y M\\\'exico》
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作者：
Emiliano Diaz
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最新提交年份：
2017
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英文摘要：
Certain theoretical aspects of vector autoregression (VAR) as tools to model economic time series are revised, in particular their capacity to include both short term and long term information. The VAR model, in its error correction form, is derived and the permanent-transitory decomposition of factors proposed by Gonzalo and Granger (1995) studied. An introductory exposition of estimation theory for reduced rank models, necessary to estimate the error correction model, is given. Cointegration analysis using the VAR model is carried out for government bond interest rates (short, medium and long term) of the United States, Mexico and Canada, with the objective of finding the long-term common factors that drive the system. The error correction model of this system is estimated using Johansen\'s method. Using this estimation the permanent-transitory decomposition of the system is calculated. Hypothesis tests are carried out on permanent factors to determine which of the nine rates studied drive the system.
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中文摘要：
对向量自回归（VAR）作为经济时间序列建模工具的某些理论方面进行了修订，尤其是其包含短期和长期信息的能力。推导了误差修正形式的VAR模型，并研究了Gonzalo和Granger（1995）提出的因素的永久瞬态分解。介绍了降秩模型的估计理论，这是估计纠错模型所必需的。使用VAR模型对美国、墨西哥和加拿大的政府债券利率（短期、中期和长期）进行协整分析，目的是找出推动该系统的长期共同因素。用Johansen方法估计了该系统的误差修正模型。利用该估计计算系统的永久瞬态分解。对永久性因素进行假设检验，以确定所研究的九种速率中的哪一种驱动系统。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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