Regime Switching Models in Asset Pricing
| Author | : Evert Wipplinger |
| Publisher | : |
| Total Pages | : |
| Release | : 2005 |
| Genre | : |
| ISBN | : |
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Asset Pricing and Portfolio Optimization Under Regime Switching Models
| Author | : Yang Shen |
| Publisher | : |
| Total Pages | : 157 |
| Release | : 2014 |
| Genre | : Assets (Accounting) |
| ISBN | : |
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Regime-switching models are very useful to describe structural changes in macro-economic conditions, periodical fluctuations in business cycles and sudden transitions in market modes. In this these, a continuous-time, finite-state, observable Markov chain is adopted to model the regime switches. The first part of the thesis is devoted to asset pricing problems under regime-switching models. In the second part stochastic optimal control theory is applied to explore portfolio optimization problems under regime-switching models.
Macroeconometrics and Time Series Analysis
| Author | : Steven Durlauf |
| Publisher | : Springer |
| Total Pages | : 417 |
| Release | : 2016-04-30 |
| Genre | : Business & Economics |
| ISBN | : 0230280838 |
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Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems
| Author | : Houmin Yan |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 397 |
| Release | : 2006-09-10 |
| Genre | : Technology & Engineering |
| ISBN | : 0387338152 |
Download Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems Book in PDF, ePub and Kindle
This edited volume contains 16 research articles. It presents recent and pressing issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the book is highly multi-disciplinary. The book is dedicated to Professor Suresh Sethi on the occasion of his 60th birthday, in view of his distinguished career.
A Regime Switching Multifactor Model for the Stock and Bond Returns
| Author | : Shuichang Xie |
| Publisher | : |
| Total Pages | : 124 |
| Release | : 2012 |
| Genre | : |
| ISBN | : |
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ABSTRACT: In contrast to the studies of constant or time-varying correlations between stock and bond returns, in this thesis, I explore the regime-dependent correlations between stock and bond returns. Specifically, I start with a comprehensive asset pricing model, i.e., a regime-switching multifactor model, and then investigate the regime-dependent correlations between stock and bond returns. Based on the BIC, the number of regimes in the regime-switching model is optimally determined to be two. For the two regimes, the directions of the regime-dependent correlations appear to be significantly different. Also, the magnitudes of the regime-dependent correlations are substantially larger in these two regimes than the correlation in the single regime. With my findings in the regime-dependent correlations, I then examine the performance of portfolio strategies. Throughout the in-sample and out-of-sample tests, I find that the two portfolio strategies, regime inferred portfolio and probability implied portfolio, can outperform the benchmark, S&P 500.
Regime changes and financial markets
| Author | : Andrew Ang |
| Publisher | : |
| Total Pages | : 32 |
| Release | : 2011 |
| Genre | : Economics |
| ISBN | : |
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Regime switching models can match the tendency of financial markets to often change their behavior abruptly and the phenomenon that the new behavior of financial variables often persists for several periods after such a change. While the regimes captured by regime switching models are identified by an econometric procedure, they often correspond to different periods in regulation, policy, and other secular changes. In empirical estimates, the regime switching means, volatilities, autocorrelations, and cross-covariances of asset returns often differ across regimes, which allow regime switching models to capture the stylized behavior of many financial series including fat tails, heteroskedasticity, skewness, and time-varying correlations. In equilibrium models, regimes in fundamental processes, like consumption or dividend growth, strongly affect the dynamic properties of equilibrium asset prices and can induce non-linear risk-return trade-offs. Regime switches also lead to potentially large consequences for investors' optimal portfolio choice.
Multivariate GARCH-in-mean and Regime Switching in Intertemporal and International Capital Asset Pricing Models
| Author | : Lorenzo Cappiello |
| Publisher | : |
| Total Pages | : 213 |
| Release | : 2001 |
| Genre | : |
| ISBN | : |
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Regime-Switching Models
| Author | : Simon van Norden |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2000 |
| Genre | : |
| ISBN | : |
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This paper is a user's guide to a set of Gauss procedures developed at the Bank of Canada for estimating regime-switching models. The procedures can estimate relatively quickly a wide variety of switching models and so should prove useful to the applied researcher. Sample program listings are included. FRENCH VERSION La presente etude constitue un guide d'utilisation d'un ensemble de procedures de Gauss mises au point a la Banque du Canada en vue de l'estimation des modeles a changement de regime. Ces procedures permettent d'estimer de facon assez rapide une vaste gamme de modeles a changement de regime et devraient s'averer utiles pour la recherche appliquee. Des echantillons de programmes sont inclus dans l'etude.
Complex Systems in Finance and Econometrics
| Author | : Robert A. Meyers |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 919 |
| Release | : 2010-11-03 |
| Genre | : Business & Economics |
| ISBN | : 1441977007 |
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Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Stochastic Analysis, Stochastic Systems, and Applications to Finance
| Author | : Allanus Hak-Man Tsoi |
| Publisher | : World Scientific |
| Total Pages | : 274 |
| Release | : 2011 |
| Genre | : Business & Economics |
| ISBN | : 9814355712 |
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Pt. I. Stochastic analysis and systems. 1. Multidimensional Wick-Ito formula for Gaussian processes / D. Nualart and S. Ortiz-Latorre. 2. Fractional white noise multiplication / A.H. Tsoi. 3. Invariance principle of regime-switching diffusions / C. Zhu and G. Yin -- pt. II. Finance and stochastics. 4. Real options and competition / A. Bensoussan, J.D. Diltz and S.R. Hoe. 5. Finding expectations of monotone functions of binary random variables by simulation, with applications to reliability, finance, and round robin tournaments / M. Brown, E.A. Pekoz and S.M. Ross. 6. Filtering with counting process observations and other factors : applications to bond price tick data / X. Hu, D.R. Kuipers and Y. Zeng. 7. Jump bond markets some steps towards general models in applications to hedging and utility problems / M. Kohlmann and D. Xiong. 8. Recombining tree for regime-switching model : algorithm and weak convergence / R.H. Liu. 9. Optimal reinsurance under a jump diffusion model / S. Luo. 10. Applications of counting processes and martingales in survival analysis / J. Sun. 11. Stochastic algorithms and numerics for mean-reverting asset trading / Q. Zhang, C. Zhuang and G. Yin
