Essays about: "Markov Switching"

Showing result 1 - 5 of 31 essays containing the words Markov Switching.

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

    University essay from Uppsala universitet/Statistiska institutionen

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

    Abstract : 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. READ MORE

  3. 2. 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

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

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

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

    Abstract : 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. READ MORE

  6. 5. 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