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 67 for “"Regime-Switching"”.
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Applications of Copula Theory and Regime Switching in Finance
… structure by combining copula theory with regime switching models that exhibit Markov property. In this class of models the dependence structure is assumed to switch between regimes according to a hidden state variable, with the purpose of accurately describing the behaviour of financial …
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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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Application of Regime Switching and Random Matrix Theory for Portfolio Optimization
… scale fluctuations have been referred to as regime switches. Ang and Bekaert (2002) were the first to consider the role of regime switches for stock market returns and portfolio optimisation. The key stylized facts regarding regime switching for stock index returns is that boom periods with …
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Essays In Adaptive Learning And Mean-Square Stability In Regime Switching Models
… and Louvre accords. New techniques in Markov switching Adaptive Learning models (MSAL), shows that economic agents would not have learned the rational expectations outcomes of exchange rate interventions and therefore contributed to exchange rate overshooting and excess volatility during this …
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Two-Time-Scale Systems In Continuous Time With Regime Switching And Their Applications
… for stochastic differential equation with regime switching. The random switching is presented by a continuous-time Markov chain. We use the idea of relaxed control and mean of martingale formulation to show a weak convergence result. </p> <p>The first chapter is devoted to the study of …
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Applications of machine learning in finance: analysis of international portfolio flows using regime-switching models
… of machine learning in quantitative finance, regime-switching models are applied to analyse and extract information from international portfolio flows. Regime-switching models capture properties of international portfolio flows previously found in the literature, such as persistence in flows …
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Numerical methods for problems arising in risk management and insurance
… 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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Monetary policy in low income countries: the case of Uganda
… financial frictions and the potential impact of regime-changes or large shocks. The analysis is applied to data for the Ugandan economy. Chapter 3 extends the quantile regression approach to investigate inflation persistence in LICs. The results suggest mean-reversion for the whole sample, …
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Inflation modelling for long-term liability driven investments
A regime-switching model allows a process to switch randomly between different regimes which have different parameter estimates. This study investigates the use of a two regime-switching model for inflation in South Africa as a means of determining a hedging strategy for inflation linked …
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The Application of the Genetic Algorithm in Promoting Stock Trading Performances
… this study connects the literature on the regime switching with studies on the GA-based trading strategies to construct one regime-switching Genetic Algorithm (RSGA) model and makes a comparison between the GA-based and the RSGA-based trading strategies. The empirical results show that …
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Essays on aggregate and individual consumption fluctuations
… dynamics when the income process exhibits regime-switching features, and compares its performance with the conventional linear model. For this purpose, I consider an economy populated by a large number of consumers whose incomes are subject to both aggregate and idiosyncratic shocks. The …
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Stochastic Approximation Algorithms With Applications To Particle Swarm Optimization, Adaptive Optimization, And Consensus
… of stochastic approximation algorithms with regime switching that is modulated by a discrete Markov chain having countable state spaces and two-time-scale structures. In the algorithm, the increments of a sequence of occupation measures are updated using constant step size. It is demonstrated …
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Identification, state estimation, and adaptive control of type i diabetic patients
… parameters of the differential equations. A new regime-switching control scheme using Proportional-Integral-Derivative (PID) controllers is designed to ensure that the control specifications are met. By comparing different switching schemes, we show that switched PID controllers can improve …
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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 Markov …
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Applications of Random Matrix Theory to Portfolio Management and Financial Networks
… Correlation (DCC) Model of Engle (2002) and the Regime-Switching Beta CAPM Correlation Model, based on Ang and Bekaert (2004). For these estimators, we find that the RMT- filtering delivers portfolios with the lowest realised risk, the best prediction accuracy and also the highest cumulated …
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Asymmetric effects of monetary policy: A Markov-Switching SVAR approach
… 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 autoregressive …
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Essays on continuous time diffusion models.
… time diffusion models. First, we propose regime-switching Heston, GARCH, and CEV stochastic volatility models where all parameters are allowed to vary depending on the state of the economy. Then we apply these models to describe the dynamics of S&P 500 and VIX. We find strong evidence of …
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Valuation and Risk Measurement of Guaranteed Annuity Options under Stochastic Environment
… flexible modelling framework that incorporate regime-switching dynamics of interest and mortality rates governed by a continuous-time Markov chain. The corresponding endowment-risk-adjusted measures are constructed and employed to obtain more efficient GAO pricing formulae. An extension of the …
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