Sökning: "Markov-switching"
Visar resultat 1 - 5 av 21 uppsatser innehållade ordet Markov-switching.
1. A Non-linear Analysis of Cointegration in South-East Asian Equity Markets
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : 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
2. 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
3. Option Pricing and Early Exercise Boundary of American Options under Markov-Modulated Volatility
Uppsats för yrkesexamina på grundnivå, Mälardalens högskola/Akademin för utbildning, kultur och kommunikationSammanfattning : The CRR binomial model is one of the most important models in financial mathematics. In this thesis we consider an extension to this model with Markov switching-state volatility. We present a detailed algorithm for obtaining early exercise boundaries for American options, as well as, fair prices for both American and European options. LÄS MER
4. Business Cycle Phases and Their Transitional Dynamics in the Euro Area: A Markov-Switching Approach with Time-Varying Transition Probabilities
D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomiSammanfattning : This thesis studies business cycle synchronisation in the euro area by examining business cycle phases and how their transitional dynamics are affected by bilateral spillovers. By using a two-state and a three-state Markov-switching model with time-varying transition probabilities it is possible to show that certain EA-12 countries' business cycles are informative in regards to detecting business cycle phase changes in other EA-12 countries. 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