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 14 of 14 for “"Regime-switching models"”.
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Essays In Adaptive Learning And Mean-Square Stability In Regime Switching Models
… variable (MSV) solution, found in non-linear models of this reduced form, is also stable in the learning sense. However, the choice of parameter values limits the robustness of this result. Furthermore, to illustrate this outcome I develop empirical results for a model similar to Cagan’s 1956 …
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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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Asymptotic Properties Of Markov Modulated Sequences With Fast And Slow Time Scales
… a number of mixing sequences modulated by a switching process that is a discrete-time Markov chain. The motivation of our study stems from applications in manufacturing systems, communication networks, and economic systems, in which regime-switching models are used.</p> <p>This thesis focuses …
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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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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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Numerical methods for problems arising in risk management and insurance
… risk management 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 …
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Applications of Copula Theory and Regime Switching in Finance
… and tend to cluster together. Traditional static models, such as the multivariate Normal distribution, are unable to capture these characteristics of the dependence structure, which resulted in copula models attracting attention and becoming popular over the last decade. Copulas provide greater …
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Real estate asset pricing – evidence from Australian and US Real Estate Investment Trusts (REITs)
… 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 from 2000 …
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Paths to peace: conflict management trajectories in militarized interstate disputes
… After using a series of Markov transition (regime-switching) models to evaluate conflict management behavior within militarized interstate disputes in the 1946-2001 period, this study concludes that third-party intervention efforts inform one another. More specifically, third-parties examine …
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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
… period. Traditional quantitative credit risk models assume that changes in spreads are normally distributed but empirical evidence shows that they are likely to be skewed and fat-tailed, and if they are ignored then the calculation of loss probabilities will be seriously compromised. …
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Are futures prices good price forecasts? Nonlinearities in efficiency and risk premiums in the soybean futures complex
… and to guide the specification of parametric regime-switching models in which we perform statistical testing. To identify effects of risk premiums, which have been difficult to estimate in a forecasting context (Frank and Garcia 2009), we use a realized GARCH model (Hansen, Huang and Shek …
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Annuity Product Valuation and Risk Measurement under Correlated Financial and Longevity Risks
… and correlation on an annuity product. A regime-switching approach to address nonlinearity is embedded both in the Lee-Carter model for mortality rate modelling and prediction, and in the Vasicek model for capturing interest-rate movements. In the valuation and computation of risk measures …
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Essays on Regional Recessions, Spatial Interactions and Forecasting
This thesis contains three essays spanning the fields of econometrics and empirical macroeconomics. The first essay develops an econometric procedure that enables applied researchers to quantify spatial interactions from panel data where variables exhibit recurrent abrupt shifts in behavior. In …