Essays about: "regime-switching"

Showing result 11 - 15 of 28 essays containing the word regime-switching.

  1. 11. Online Regime Switching Vector Autoregression Incorporating Spatio-temporal Aspects for Short Term Wind Power Forecasting

    University essay from KTH/Elkraftteknik

    Author : Sean Gilleran; [2017]
    Keywords : ;

    Abstract : This master thesis examines short term wind power forecasting time series models focusing on regimes conditioned to meteorological conditions and the incorporation of spatio-temporal aspects. Novel regime switching autoregressive and vector autoregressive models are proposed, implemented in a .NET framework, and evaluated. READ MORE

  3. 12. Smooth Transitions in Factor Augmented Models: Simulations and Applications in Macroeconomics

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Ingrid Mattsson; [2017]
    Keywords : smooth transitions; STAR; factor models; regime switching; macroeconomics; forecasting;

    Abstract : This paper is concerned with two important topics in macroeconomic research – structural instability and handling of large amount of data. The regime switching behavior of the data generating process is accounted for by using a smooth transition model. READ MORE

  4. 13. Markov Regime Switching Model Implementation to the Stockholm Stock Market & Comparison with Equal Weight Portfolio

    University essay from Lunds universitet/Matematisk statistik

    Author : Sanna Brandel; [2017]
    Keywords : Mathematics and Statistics;

    Abstract : The unpredictable behaviour of financial time series has long been a concern for econometricians, making it difficult to find appropriate models with a satisfactory fit. The Markov regime switching model is a popular approach, much in behalf of the way it takes the shifts in the time series behaviour into account. READ MORE

  5. 14. A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula Dependencies

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Adnan Berberovic; Alexander Eriksson; [2017]
    Keywords : finance; statistics; stock market; stocks; factor; factors; probability; probability distribution; students t distrbution; students t; copula; markov chain; hidden markov model; regime switching; stochastic programming; optimisation; optimization; multi factor model; arbitrage pricing theory; return; performance; back test; expectation maximisation; expectation maximization; multiple linear regression; stochastic process; primal-dual interior point; qq-plot; qq plot; excess return; market regimes; bear market; bull market; market index; index;

    Abstract : Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. READ MORE

  6. 15. Regime shifts in the Swedish housing market - A Markov-switching model analysis

    University essay from KTH/Fastigheter och byggande

    Author : Jakob Stockel; Niklas Skantz; [2016]
    Keywords : Housing cycles; Markov-switching; regime shifts; MS-AR; transition probabilities; regime-switching model; MS-DR; turning points; Swedish housing market; forecasting; Bostadscykler; Markov-switching; regimskifte; MS-AR; overgangssannolikheter; vandpunktsmodell; MS-DR; vandpunkter; svenska bostadsmarknaden; prognos;

    Abstract : Problem statement: Accurate and reliable forecasts of trends in the housing market can be useful information for market participants as well as policy makers. This information may be useful to minimize risk related to market uncertainty. READ MORE