Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 12 of 12 for “"Markov Regime Switching"”.
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Three essays on long memory tests for persistence in volatility and structural vector autoregression modeling of real exchange rates
… Conditional Heteroskedasticity (ARCH), Markov Regime Switching ARCH, and long memory. The long memory series are simulated through a Semi-Markov process with Pareto waiting times and lognormal realizations. The persistence in volatility arising from transition waiting probabilities for a …
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Numerical methods for problems arising in risk management and insurance
… and insurance. We consider the models with Markov regime-switching process. The regime-switching model contains both continuous and discrete components in their evolution and is referred to as a hybrid system. The discrete events are used to model the random factors that cannot formulated by …
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Real estate asset pricing – evidence from Australian and US Real Estate Investment Trusts (REITs)
… three frameworks: Modern Portfolio Theory (MPT), Markov regime-switching models, and firm-level beta drivers. MPT analyses risk-return trade-offs; Markov models assess transitions between market conditions; and firm-level drivers examine financial ratios reflecting future return potential. Data …
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Inflation and Macroeconomic Effects of Inflation Targeting in Asia: Time-Series and Cross-Country Analysis
… include panel GARCH, quantile unit root and Markov regime-switching testing. Panel GARCH results indicate that inflation targeting is more credible in lowering the inflation level rather than its volatility. The quantile unit root testing results indicate that the credibility of inflation …
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Advances in Risk Parity Portfolio Optimization
… portfolios aligned with the current market regime. The result is a Markov regime-switching factor model of asset returns from which we can naturally derive regime-dependent parameters for use during optimization. The final component of this thesis addresses the fundamental limitations of …
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Currency crises in the European Exchange Rate Mechanism
… is the use a modelling methodology based on the Markov regime switching model with time-varying transition probabilities, which overcomes the main limitations of previously employed approaches. The distribution of each proxy of speculative pressure determines the two states of the foreign …
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Essays on Markov-Switching Dynamic Stochastic General Equilibrium Models
<p>This dissertation presents two essays on Markov-Switching dynamic stochastic general equilibrium models.</p><p>The first essay is "Perturbation Methods for Markov-Switching Models," which is co-authored with Juan Rubio-Ramirez, Dan Waggoner, and Tao Zha. This essay develops an perturbation-based …
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The Stock Market, the Housing Market and Consumption
… The econometric methods employed include the Markov regime-switching approach, the quantile autoregressive distributed-lag framework, panel unit root and cointegration tests, and a panel vector autoregressive procedure. In terms of the US market, only weak evidence of a linear cointegrating …
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The effectiveness of monetary policy in a regime-switching environment
… and that this nonlinearity can be captured by regime-switching models and, in particular, by STAR models. STAR models applied to the logarithm of the U.S. real GNP have, however, not produced very satisfactory results. One reason advanced for this lack of success is that the growth rate of GNP …
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Modelling the Dynamics of Credit Spreads of European Corporate Bond Indices
… insight into the dynamics of higher moments and regime shifts in credit spread changes by applying a GARCH-type model that allows for time-varying volatility, skewness and kurtosis, as well as a Markov regime-switching GARCH specification to capture the structural changes in the volatility of …
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Three Essays on Extremes and Non-Linearities in Asset Pricing
The dissertation consists of three self-contained essays, with a focus on empirical capital market research. The first essay "Time-Varying Conditional Market Returns: Is Variance or Tail-Risk Priced", empirically investigates the question whether there is a positive relationship between aggregate …
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Three essays on regional business cycle analysis
… dates the regional business cycle phases using a Markov-switching model under the assumption of a multi-level structure of regional economic system, and it is revealed that the regional cycle phase transition depends on the national cycle phase, but the propagation speed of the national phase into …