| Title |
Baltijos šalių sektorinių akcijų kainų indeksų VAR modelis / |
| Translation of Title |
The Baltic countries sectoral share price indexes VAR model. |
| Authors |
Uzdanavičiūtė, Roma ; Rudzkis, Rimantas |
| DOI |
10.15388/LMR.2011.st05 |
| Full Text |
|
| Is Part of |
Lietuvos matematikos rinkinys. LMD darbai.. Vilnius : Matematikos ir informatikos institutas. 2011, t. 52, p. 332-337.. ISSN 0132-2818 |
| Keywords [eng] |
OMX Baltic security market ; Sectoral share price indexes ; Stationarity ; Vector autoregression model (VAR) |
| Abstract [eng] |
According to the same modern Baltic countries economical and political integration, united OMX Baltic security market created.The main purpose of this article is to forecast her sectoral share price indexes according to their interdependent relationship during 2000-2010 year.Time series models, linear regression models and a vector autoregression model (VAR) can be used to model and forecast indexes processes.Therefore, the vector autoregression model is proposed for modelling.Theoretical aspects of model estimation are reviewe. |
| Published |
Vilnius : Matematikos ir informatikos institutas |
| Type |
Journal article |
| Language |
Lithuanian |
| Publication date |
2011 |
| CC license |
|
