Sökning: "Regime Switching"

Visar resultat 1 - 5 av 36 uppsatser innehållade orden Regime Switching.

  1. 1. Analysing Regime-Switching and Cointegration with Hamiltonian Monte Carlo

    Master-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Jakob Brandt; [2023]
    Nyckelord :Time Series Econometrics; Regime-Switching; Cointegration; Markov Chain Monte Carlo; Hamiltonian Monte Carlo;

    Sammanfattning : 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

  3. 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 School

    Författare :Arien Haghshenas; Martin Karim; [2022-06-29]
    Nyckelord :ESG; Hidden Markov Models; Factor investing; Machine learning; Portfolio construction; Regime-switching models;

    Sammanfattning : 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

  4. 3. Prediction of the Impact of Increased Photovoltaics Power on the Swedish Daily Electricity Spot Price Pattern

    Master-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

    Författare :Saga Fahlén; [2022]
    Nyckelord :Regime Switching; Photovoltaics; Electricity Spot Price; Cannibalization Effect; Merit Order Effect;

    Sammanfattning : As the demand for electricity increases throughout the globe while we want to reduce the use of fossil fuels, the need for renewable energy sources is bigger than ever. In countries where solar power makes up a large part of the total energy production, the overall electricity spot price level has become lower. LÄS MER

  5. 4. Parameter Update Schemes for Hidden Markov Models applied to Financial Returns

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Sigfrid Forsberg; [2022]
    Nyckelord :Markov Chain; Finance; Hidden Markov Model; Generalized Autoregressive Score Model; S P-500; Nikkei; Adaptive Model; Volatility; Regime-switching Model; Line-Search Algorithm; Predictor-Corrector; Quasi-Newton; Mathematics and Statistics;

    Sammanfattning : 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

  7. 5. A Non-linear Analysis of Cointegration in South-East Asian Equity Markets

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Massimiliano Severi; [2021]
    Nyckelord :Cointegration; South-East Asian stock markets; Time series comovements; Markov-switching models; Regime-shifting models;

    Sammanfattning : This paper investigates the presence of cointegration among the main stock markets in South-East Asia, namely those of Hong Kong, Singapore, Malaysia and Thailand. Part 1 of the thesis studies the relationship using Markov-switching models, while Part 2 uses regime-shifting models with one structural break. LÄS MER