Browsing by Author "Agneman, Johan"

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Forecasting Chargeable Hours at a Consulting Engineering Firm - Applicability of Classical Decomposition, Holt-Winters & ARIMA
(2012-06-29) Agneman, Johan; Lindqvist, Roger; University of Gothenburg/Department of Business Administration; Göteborgs universitet/Företagsekonomiska institutionen
Reinertsen, a Swedish consulting engineering firm, is dissatisfied with the accuracy of its qualitative forecast of chargeable hours. This thesis investigates whether classical decomposition, Holt-Winters, or ARIMA can perform more accurate forecasts of chargeable hours than the qualitative method currently used at Reinertsen. This thesis also attempts to explain why or why not these forecasting methods improve the forecasting accuracy at Reinertsen. The purpose of this thesis is twofold: (1) to identify a suitable manpower forecasting method for Reinertsen; and (2) to contribute to previous literature on forecasting by further assessing the performance and the applicability of the chosen forecasting methods. The data applied was monthly numbers of chargeable hours which covered the period between 2007 and 2011. The first 48 monthly observations were used to generate the forecasts while the remaining 12 monthly observations were used to evaluate the forecasts. The data contains trend and strong monthly fluctuations. The results indicate that ARIMA and classical decomposition are inappropriate forecasting methods to forecast chargeable hours at Reinertsen. The relatively poor performance of classical decomposition and ARIMA is believed to be attributable to these methods inability to forecast varying fluctuations. The results also show that Holt-Winters yield the most accurate forecasts amongst the evaluated forecasting methods. The forecasted time series fluctuates much and the Holt-Winters method, which focuses on recent observations, might be better suited to capture these fluctuations. Consequently, the Holt-Winters method has the potential to improve the forecasting of chargeable hours at Reinertsen.
Stock market interdependencies - Evidence from the Eurozone´s southern periphery before and after the outbreak of the European debt crisis
(2013-09-18) Agneman, Johan; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
Recent events in the Eurozone´s southern periphery have directed much interest to the region but only a limited number of studies have targeted the market interdependencies among these counties. This thesis examines the interdependencies among the stock markets in the Eurozone´s southern periphery, before and after the outbreak of the European debt crisis. By applying the Johansen test of cointegration and the DCC-MGARCH model, both the long-run and short-run interdependencies are examined. The data employed consist of daily stock market index return series from Greece, Italy, Portugal and Spain, covering the period January 1, 2001 to May 10, 2013. This period is further decomposed into two subsamples to enable an analysis of how the European debt crisis has impacted the interdependencies in the region: the pre-crisis period ranges from January 1, 2001 to October 15, 2009 and the post-crisis period from October 16, 2009 to May 10, 2013. The result shows evidence of stock market interdependencies in the Eurozone´s southern periphery, particularly in the form of short-run volatility correlation. The result also indicates that the outbreak of the European debt crisis has affected the volatility correlation in the region. The main finding is that the volatility correlation has increased since the outbreak of the European debt crisis between all pairwise comparisons except for these involving the Greek market. The fact that interdependencies exist among all markets in the region is imperative for investors and policy makers and highlights the importance of sound portfolio management and regulatory policies.