Essays about: "regime-switching"

Showing result 16 - 20 of 28 essays containing the word regime-switching.

  1. 16. Non-linear prediction in the presence of macroeconomic regimes

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Emmanuel Latim Okumu; [2016]
    Keywords : Markov Switching; Regime Switching; Smooth-transition; Time-varying parameters; Threshold model;

    Abstract : This paper studies the predictive performance and in-sample dynamics of three regime switching models for Swedish macroeconomic time series. The models discussed are threshold autoregressive (TAR), Markov switching autoregressive (MSM-AR), and smooth-transition autoregressive (STAR) regime switching models. READ MORE

  3. 17. A mean-variance Portfolio Optimizing Trading Algorithm using regime-switching Economic Parameters

    University essay from Lunds universitet/Matematisk statistik

    Author : Jacob Blomgren; [2016]
    Keywords : nancial engineering; algorithmic trading; portfolio optimiza- tion; mean-variance criterion; regime-switching; quadratic programming; hid- den markov model; Mathematics and Statistics;

    Abstract : In this master's thesis a model of algorithmic trading is constructed. The model aims to create an optimal investment portfolio consisting of a risk-free asset and a risky asset. The risky asset is in the form of a stock generated using regime-switching parameters with a Markov chain explaining the state of the economy. READ MORE

  4. 18. Factor return predictability: A comparison of multivariate forecasts of the Size, Value, Momentum, and Low Volatility premia

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Francesco Chincoli; [2015]
    Keywords : Risk Premium; Factor Return Predictability; Forecast Accuracy; Regime Switching;

    Abstract : This paper studies the predictive performance of multivariate models in forecasting joint returns of portfolios tracking the Size, Value, Momentum, and Low Volatility premia. We run recursive out-of-sample forecasting experiments on a number of linear and regime switching models, and compare the accuracy of their point predictions in a qualitative and quantitative fashion. READ MORE

  5. 19. Simulation Evidence on Long Memory and Regime Switching in the Second Moment for Modelling of Financial Returns

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Hans Isaksson; [2015]
    Keywords : Long memory; Regime switching; HMM; FIGARCH; Simulation study; Returns; Business and Economics;

    Abstract : It is well-known that long memory and regime switching in the first moment of a stochastic process are easily confused. But the relation between long memory in the second moment and regime switching in the second moment is less well understood. READ MORE

  6. 20. A Regime Switching Model - Applied to the OMXS30 and Nikkei 225 indices

    University essay from Göteborgs universitet/Graduate School

    Author : Ludvig Hjalmarsson; [2014-07-23]
    Keywords : ;

    Abstract : This Master of Science thesis investigates the performance of a Simple Regime Switching Model compared to the GARCH(1,1) model and rolling window approach. We also investigate how these models estimate the Value at Risk and the modified Value at Risk. The underlying distributions that we use are normal distribution and Student’s t-distribution. READ MORE