Essays about: "regime-switching"

Showing result 21 - 25 of 28 essays containing the word regime-switching.

  1. 21. A Conditional Analysis of Liquidity on Quality in the U.S. Corporate Bond Universe

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Arwed Ebner; Paul Schempp; [2014]
    Keywords : Liquidity; Corporate Bonds; Markov Regime-Switching Models; Flight-to-Quality; Credit Quality;

    Abstract : Why are high-yield bonds more severely hit by large liquidity dry outs than investment grade bonds? This study investigates the effects of liquidity shocks on returns in the U.S. corporate bond market during times of heightened liquidity stress, using a comprehensive data set of 13,500 bonds between October 2004 and September 2013. READ MORE

  3. 22. Allocation Methods for Alternative Risk Premia Strategies

    University essay from KTH/Matematisk statistik

    Author : Daniel Drugge; [2014]
    Keywords : ;

    Abstract : We use regime switching and regression tree methods to evaluate performance in the risk premia strategies provided by Deutsche Bank and constructed from U.S. research data from the Fama French library. The regime switching method uses the Baum-Welch algorithm at its core and splits return data into a normal and a turbulent regime. READ MORE

  4. 23. On the Specification of Local Models in a Global Vector Autoregression: A Comparison of Markov-Switching Alternatives

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Sebastian Andersson; [2014]
    Keywords : GVAR; VAR; time-varying; regime switching; macroeconometrics; global;

    Abstract : In this paper, focus is on the global vector autoregressive (GVAR) model. Its attractiveness stems from an ability to incorporate global interdependencies when modeling local economies. The model is based on a collection of local models, which in general are estimated as regular VAR models. READ MORE

  5. 24. Sovereign risk premiums in the eurozone: A regime switching analysis

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Gustaf Norrefeldt; [2014]
    Keywords : Sovereign risk premium; Government bonds; Yield spread; Markov switching regime model; European sovereign debt crisis; Business and Economics;

    Abstract : This paper provides an empirical analysis of the relationship between economic variables and sovereign risk premiums in the eurozone between the years 1988 and 2013. By using a Markov regime switching model it is possible to prove a nonlinear relationship. READ MORE

  6. 25. Evaluating Regime Switching in Dynamic Conditional Correlation

    University essay from KTH/Matematisk statistik

    Author : Kristoffer Stenberg; Henrik Wikerman; [2013]
    Keywords : ;

    Abstract : This paper provides a comparative study of the Dynamic Conditional Correlation model introduced by Engle (2002) and the Independent Switching Dynamic Conditional Correlation model introduced by Lee (2010) by evaluating the models for a set of known correlation processes. The evaluation is also extended to cover empirical data to assess the practical performance of the models. READ MORE