Sökning: "Yanan Wu"

Hittade 1 uppsats innehållade orden Yanan Wu.

  1. 1. ON THE PREDICTIVE PERFORMANCE OF THE STOCK RETURNS BY USING THE MARKOV-SWITCHING MODELS

    Master-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Yanan Wu; [2020]
    Nyckelord :stock returns; regime-switching regression; regime identify; EM algorithm; statistical method;

    Sammanfattning : 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