Essays about: "Markov-switching models"
Showing result 1 - 5 of 15 essays containing the words Markov-switching models.
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1. A Non-linear Analysis of Cointegration in South-East Asian Equity Markets
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : 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
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2. An Analysis of Markov Regime-Switching Models for Weather Derivative Pricing
University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakultetenAbstract : 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
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3. Option Pricing and Early Exercise Boundary of American Options under Markov-Modulated Volatility
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : 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. READ MORE
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4. ON THE PREDICTIVE PERFORMANCE OF THE STOCK RETURNS BY USING THE MARKOV-SWITCHING MODELS
University essay from Uppsala universitet/Statistiska institutionenAbstract : 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. READ MORE
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5. Can Bitcoin, and other cryptocurrencies, be modeled effectively with a Markov-Switching approach?
University essay from KTH/Matematisk statistikAbstract : This research is an attempt at deepening the understanding of hyped cryptocurrencies. A deductive nature is used where we attempt to estimate the linear dependencies of cryptocurrencies with four different time series models. READ MORE
