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Found 4 essays matching the above criteria.

  1. 1. 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

  3. 2. Estimation of cross-border flow in electricity markets using a Markovian-Tobit approach

    University essay from KTH/Skolan för elektro- och systemteknik (EES)

    Author : Pontus Wallin; [2016]
    Keywords : ;

    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

  4. 3. Estimating the Swedish Phillips Relationship in a Markov-Switching Vector Autoregression

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Svante Midander; Sebastjan Wassermeyer; [2015]
    Keywords : Markov-switching; Phillips curve; Vector autoregression; Inflation expectations; Non-linear time series models;

    Abstract : 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

  5. 4. Algorithmic evaluation of Parameter Estimation for Hidden Markov Models in Finance

    University essay from KTH/Matematisk statistik

    Author : Linus Lauri; [2014]
    Keywords : Hidden Markov Models; Parameter Estimation; Expectation Maximization;

    Abstract : 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