Essays about: "regime-switching model"

Showing result 1 - 5 of 23 essays containing the words regime-switching model.

  1. 1. Factor Investing and ESG Integration in Regime-switching Models- An Empirical Study on ESG Factor Integration Using Infinite Hidden Markov Models

    University essay from Göteborgs universitet/Graduate School

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

    Abstract : 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. READ MORE

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

    University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

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

    Abstract : 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. READ MORE

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

    University essay from Lunds universitet/Matematisk statistik

    Author : Sigfrid Forsberg; [2022]
    Keywords : 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;

    Abstract : 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. READ MORE

  5. 4. An Analysis of Markov Regime-Switching Models for Weather Derivative Pricing

    University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

    Author : Fredrik Gerdin Börjesson; [2021]
    Keywords : Weather derivatives; temperature modeling; Markov switching models; Lévy processes; expectation-maximization algorithm; generalized hyperbolic distributions; Monte Carlo simulation;

    Abstract : 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. READ MORE

  6. 5. Term Structure Modeling near the Zero Lower Bound: Regime Switching & Monetary Policy

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Oliver Krek; [2018]
    Keywords : Affine Term Structure Model; Regime Switching; Monetary Policy; Zero Lower Bound;

    Abstract : This thesis proposes a regime-switching extension to the well known autoregressive gamma and gamma-zero process nesting its linear counterpart. The affine term structure model based on the new process matches key stylized facts of interest rates during a zero lower bound period as well as in normal times. READ MORE