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 20 of 52 for “"Markov Switching"”.
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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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Forecasting Equity Volatility Dynamics with Markov-Switching EGARCH Models
… We forecast US equity volatility with a Markov-Switching EGARCH model with one high and one low volatility regime. We show that this model contains similar information about future volatility as the VIX Index. It also outperforms single-regime GARCH and EGARCH models. Moreover, the …
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Asymmetric effects of monetary policy: A Markov-Switching SVAR approach
… as a developing small macro-economy using the Markov-switching structural vector autoregressive (MS-SVAR) framework, utilising time-series data from 1994: Q1 to 2019: Q4. The study makes use of bank rate (interest rate), inflation and output gap. The first model is a structural vector …
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Implementation of Solar Irradiance Forecasting Using Markov Switching Model and Energy Management System
… method for remote microgrids based on the Markov Switching Model (MSM) is presented. This method uses locally available data to predict one-day-ahead solar irradiance for scheduling energy resources in remote microgrids. The model considers the past solar irradiance data, the Clear Sky …
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Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution
… the volatility of daily returns using a double Markov switching GARCH model with a skewed Student-t error distribution. The model was applied to individual shares obtained from the Johannesburg Stock Exchange (JSE). The Bayesian approach which uses Markov Chain Monte Carlo was used to estimate …
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Markov-Switching models and resultant equity implied volatility surfaces: a South African application
… Motion change according to an underlying Hidden Markov Process. This new model, termed a Markov-Switching model, is presented in extensive detail. Parameter Estimation methods, Simulation Methods and Option Pricing Theory are explored. Summary algorithms are presented so that this dissertation …
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Nonlinear Markov switching analysis of economic and stock market dynamics for emerging market economies
… of emerging market economies based on hidden Markov models that are robust to potential parameter instability. We identify three states of business cycles and provide estimates of turning points based on monthly industrial production data. Crises that are characterized by sharp drops in …
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Three Essays on: Hedging in China's Oil futures market; Gold, Oil and Stock Market Price Volatility links in the USA; and, Currency Fluctuations in S.E. and Pacific Asia
… 1997 crises, in six Asian countries. Two regimes Markov Switching TGARCH and constant volatility models are used to determine the causes of market pressures on exchange rates, and the probability of the timing of a currency attack. The Markov Switching models do not require an ex-ante definition …
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Essays In Adaptive Learning And Mean-Square Stability In Regime Switching Models
… structural changes. Using a finite state Markov process to model stochastically evolving, state-dependent parameters I find that by employing the conditions unique to mean-square stability, the minimum state variable (MSV) solution, found in non-linear models of this reduced form, is also …
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The Impact of the Carry Trade on Global Currency Markets
… is additionally analysed by modelling it as a Markov-switching model, providing evidence of three inherent regimes, with properties roughly consistent with findings in the literature.
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Essays in Empirical Asset Pricing and International Finance
… periods of heightened volatility. The regime-switching model captures co-movements in both the mean and volatility processes of asset returns. The mean dynamics incorporate PCA-derived factors that reflect global and market-specific influences, while the variance-covariance structure accounts …
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Identifying and predicting turning points in Australian inbound tourism demand growth
… nonlinear models such as Logit, Probit and Markov Switching and the Leading Indicator approach. The specific aim of this study is to forecast turning points in Australian inbound tourism demand growth caused by ‘economic factors’ within both the tourism generating country and destination …
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Properties Of Nonlinear Randomly Switching Dynamic Systems: Mean-Field Models And Feedback Controls For Stabilization
… of nonlinear dynamic systems hybrid with Markov switching. It contains two parts. The first part focus on the mean-field models with state-dependent regime switching, and the second part focus on the system regularization and stabilization using feedback control. Throughout this …
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Enhancements in Markovian Dynamics
… a single basic linear generative model. Hidden Markov modeling (HMM), however, is categorized as an unsupervised learning under multiple linear/nonlinear generative models. This dissertation is primarily focused on hidden Markov models (HMMs). On the first half of this dissertation we study …
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Ciclos internacionais de negócios : uma análise de mudança de regime markoviano para Brasil, Argentina e Estados Unidos
… A metodologia utilizada é a dos modelos MS-VAR – Markov switching vector autoregressions. Especificações univariadas são estimadas para o período de 1900 a 2000 e os resultados comparados aos fatos estilizados de cada país. Posteriormente um modelo multivariado é formulado para abrigar a hipótese …
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Bayesian Applications in Financial Econometrics
… discrete time short-rate models to include Markov switching of infinite dimension. This is a Bayesian nonparametric model that allows for changes in the unknown conditional distribution over time. Applied to weekly U.S. data we find significant parameter change over time and strong evidence …
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Essays on exchange rate dynamics and currency crises in Asia
… or contagion caused the 1997 crisis. Using Markov-switching models, this chapter finds that including exchange pressure from neighboring countries in the transitional probabilities improves the conditional probability of a crisis in Indonesia. In the third chapter, the dynamics of …
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Refining Value-at-Risk estimates: An Extreme Value Theory Approach
… with Student’s-t distribution, and (3) Bayesian Markov-Switching GJR-GARCH model with skewed Student’s-t distributions, incorporating copula functions and extreme value theory. A new approach for selecting a proper threshold in the Peaks Over Threshold method for extreme value theory analysis …
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¿Existe evidencia de un ciclo económico común en la integración económica centroamericana?: una estimación del ciclo común mediante un modelo dinámico factorial y su caracterización mediante cambios de régimen de Markov
… no observables de cambios de regímenes de Markov (Markov Switching Model, MSM por sus siglas en inglés). De este estudio pudimos concluir que, existe un ciclo económico común en Centroamérica, dando evidencia que una porción del crecimiento de largo plazo de cada país esta explicado por el …
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Essays On Oil Price Volatility And Irreversible Investment
… gains in forecasting performance of Markov Switching GARCH</p> <p>models over GARCH models for the volatility of financial assets and crude</p> <p>oil futures. We find that, for spot oil price returns, non-switching models</p> <p>perform better in the short run, whereas switching …
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