Sökning: "Markov Regime-Switching Models"
Visar resultat 1 - 5 av 14 uppsatser innehållade orden Markov Regime-Switching Models.
1. Analysing Regime-Switching and Cointegration with Hamiltonian Monte Carlo
Master-uppsats, Uppsala universitet/Statistiska institutionenSammanfattning : The statistical analysis of cointegration is crucial for inferring shared stochastic trends between variables and is an important area of Econometrics for analyzing long-term equilibriums in the economy. Bayesian inference of cointegration involves the identification of cointegrating vectors that are determined up to arbitrary linear combinations, for which the Gibbs sampler is often used to simulate draws from the posterior distribution. LÄS MER
2. Factor Investing and ESG Integration in Regime-switching Models- An Empirical Study on ESG Factor Integration Using Infinite Hidden Markov Models
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : ESG investing is an active area of interest, both for the investment and academic communities. However, research is inconclusive on the financial benefits of integrating ESG factors in portfolio construction. LÄS MER
3. Parameter Update Schemes for Hidden Markov Models applied to Financial Returns
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : This thesis was dedicated to investigating the use of different parameter update schemes for Hidden Markov models with time-varying parameters, with an emphasis on developing alternatives to the quasi-Newton step. The focus was on applications to financial returns, using data from the S\&P-500 and the Nikkei index, and for comparison, a trial using synthetic data was also performed. LÄS MER
4. An Analysis of Markov Regime-Switching Models for Weather Derivative Pricing
Kandidat-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakultetenSammanfattning : The valuation of weather derivatives is greatly dependent on accurate modeling and forecasting of the underlying temperature indices. The complexity and uncertainty in such modeling has led to several temperature processes being developed for the Monte Carlo simulation of daily average temperatures. LÄS MER
5. ON THE PREDICTIVE PERFORMANCE OF THE STOCK RETURNS BY USING THE MARKOV-SWITCHING MODELS
Master-uppsats, Uppsala universitet/Statistiska institutionenSammanfattning : This paper proposes the basic predictive regression and Markov Regime-Switching regression to predict the excess stock returns in both US and Sweden stock markets. The analysis shows that the Markov Regime-Switching regression models out perform the linear ones in out-of-sample forecasting, which is due to the fact that the regime-switching models capture the economic expansion and recession better. LÄS MER