COMPARING REGIME-SWITCHING MODELS IN TIME SERIES: LOGISTIC MIXTURES: vs. MARKOV SWITCHING
نویسندگان
چکیده
Title of thesis: COMPARING REGIME-SWITCHING MODELS IN TIME SERIES: LOGISTIC MIXTURES: vs. MARKOV SWITCHING Dimitrios V. Paliouras Master of Science, 2007 Thesis directed by: Professor Benjamin Kedem Department of Mathematics The purpose of this thesis is to review several related regime-switching time series models. Specifically, we use simulated data to compare models where the unobserved state vector follows a Markov process against an independent logistic mixture process. We apply these techniques to crude oil and heating oil futures prices using several explanatory variables to estimate the unobserved regimes. We find that crude oil is characterized by regime switching, where prices alternate between a high volatility state with low returns and significant mean reversion and a low volatility state with positive returns and some trending. The spread between one-month and three-month futures prices is an important determinant in the dynamics of crude oil prices. COMPARING REGIME-SWITCHING MODELS IN TIME SERIES: LOGISTIC MIXTURES vs. MARKOV SWITCHING
منابع مشابه
Estimating Stock Price in Energy Market Including Oil, Gas, and Coal: The Comparison of Linear and Non-Linear Two-State Markov Regime Switching Models
A common method to study the dynamic behavior of macroeconomic variables is using linear time series models; however, they are unable to explain nonlinear behavior of the series. Given the dependency between stock market and derivatives, the behavior of the underlying asset price can be modeled using Markov switching process properties and the economic regime significance. In this paper, a two-...
متن کاملAsymmetric Effects of Government Spending on Economic Growth Over the Business Cycle: Application of Markov Switching Models
This paper is investigated four subject with uses iranian economic data and using the Markov-Switching model during the period (1369: 3-1393: 4), So that: (a) were Examined impact of the positive and negative Fiscal shocks on Iran economic growth ( B) the Hypothesis impact of negative shocks is greater than a positive shock was tested. (C) were tested the impact of government expenditure (f...
متن کاملMonetary Fundamental-Based Exchange Rate Model in Iran: Applying a MS-TVTP Approach
T he main purpose of this article is to analyze exchange rate behavior based on monetary fundamentals in the context of Iranian economy over the period 1990:2 to 2014:3. To do so, two monetary exchange rate models is investigated, the first by regarding interest rate differential as a monetary variable, and the second one regardless of interest rate differential as a monetary variabl...
متن کاملModeling Gasoline Consumption Behaviors in Iran Based on Long Memory and Regime Change
In this study, for the first time, we model gasoline consumption behavior in Iran using the long-term memory model of the autoregressive fractionally integrated moving average and non-linear Markov-Switching regime change model. Initially, the long-term memory feature of the ARFIMA model is investigated using the data from 1927 to 2017. The results indicate that the time series studied has a lo...
متن کاملFads Models with Markov Switching Hetroskedasticity: decomposing Tehran Stock Exchange return into Permanent and Transitory Components
Stochastic behavior of stock returns is very important for investors and policy makers in the stock market. In this paper, the stochastic behavior of the return index of Tehran Stock Exchange (TEDPIX) is examined using unobserved component Markov switching model (UC-MS) for the 3/27/2010 until 8/3/2015 period. In this model, stock returns are decomposed into two components; a permanent componen...
متن کامل