Essays about: "Regime-shifting models"
Found 4 essays containing the words Regime-shifting 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. Estimation of cross-border flow in electricity markets using a Markovian-Tobit approach
University essay from KTH/Skolan för elektro- och systemteknik (EES)Abstract : In an electricity price forecast model the influence from connected external electricity markets affects the supply. In order to predict electricity prices in a supply and demand model one can increase the accuracy by predicting the import or export from the connected markets if the connected market models are not price optimized towards each other. READ MORE
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3. Estimating the Swedish Phillips Relationship in a Markov-Switching Vector Autoregression
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : The Swedish Phillips relationship was recently examined by Svensson (2015), who found that the long-run trade-off is downward-sloping. Hence, there is an unemployment cost of inflation. He argues that this has occurred because inflation expectations are anchored to the inflation target, while average inflation has deviated from the target. READ MORE
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4. Algorithmic evaluation of Parameter Estimation for Hidden Markov Models in Finance
University essay from KTH/Matematisk statistikAbstract : Modeling financial time series is of great importance for being successful within the financial market. Hidden Markov Models is a great way to include the regime shifting nature of financial data. This thesis will focus on getting an in depth knowledge of Hidden Markov Models in general and specifically the parameter estimation of the models. READ MORE