Sökning: "Markov switching"

Visar resultat 1 - 5 av 18 avhandlingar innehållade orden Markov switching.

1. 1. Rainflow Analysis of Switching Markov Loads

   Författare :Pär Johannesson; Matematisk statistik; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; actuarial mathematics; programming; operations research; Statistics; rainflow matrix; fatigue; vehicle load; hidden Markov model; random load; Markov model; Switching process; Statistik; operationsanalys; programmering; aktuariematematik;

   Sammanfattning : Rainflow cycles are often used in fatigue analysis of materials for describing the variability of applied loads. Therefore, an important characteristic of a random load process is the intensity of rainflow cycles, also called the expected rainflow matrix (RFM), which can be used for evaluation of the fatigue life. LÄS MER

3. 2. Markov Regime Switching in Economic Time Series

   Författare :Ulf Erlandsson; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; forecasting; Markov switching; exchange rates; interest rates; business cycle; economic policy; economic systems; economic theory; econometrics; Economics; currency crisis;

   Sammanfattning : This dissertation studies statistical properties and applications of the Markov switching models for economic time series in five separate papers. The two main statistical themes are (i) the task of choosing the number of states to use in the model, and (ii) inference on time-varying transition probabilities. LÄS MER

4. 3. Semi-Markov Models for Insurance and Option Rewards

   Författare :Fredrik Stenberg; Dmitrii Silvestrov; Kimmo Eriksson; Nikolaos Limnios; Mälardalens högskola; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; semi-Markov process; discrete time; insurance; actuarial; higher order reward; disability; variance; skewness; kurtosis; reward process; stochastic volatility; controlling semi-Markov process; Monte Carlo algorithm; convergence; optimal stopping; skeleton approximation; regime switching; semi-Markov modulated; European option; American option; Lévy process.; MATHEMATICS; MATEMATIK; Matematik tillämpad matematik;

   Sammanfattning : This thesis presents studies of semi-Markov models for insurance and option rewards. The thesis consists of the introduction and six papers. The introduction presents the results of the thesis in an informal way.In paper A, a general semi-Markov reward model is presented. LÄS MER

5. 4. Derivative Prices for Models using Levy Processes and Markov Switching

   Författare :Sebastian Rasmus; Matematisk statistik; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; programming; operations research; Statistics; Regime switching; Levy processes; Derivative pricing; Computer simulations; actuarial mathematics; Statistik; operationsanalys; programmering; aktuariematematik;

   Sammanfattning : This thesis contributes to mathematics, finance and computer simulations. In terms of mathematics this thesis concerns applied probability and Lévy processes and from the financial point of view the thesis concerns derivative pricing. Within these two areas several simulation techniques are investigated. The thesis is organized as follows. LÄS MER

7. 5. Essays on Financial Market Volatility

   Författare :Ai Jun HOU; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nonparametric GARCH model; News Impact Curve; Interest rate volatility; MCMC; Markov Switching; Chinese stock markets; EMU stock markets;

   Sammanfattning : This thesis examines the volatility in the equity and short-term interest-rate markets, and the spillover from the short term interest rate market to the equity market. It consists of three papers and focuses on adapting and proposing models for the estimation and forecasting of financial market volatility. LÄS MER