Please use this identifier to cite or link to this item:
http://dspace.lib.uom.gr/handle/2159/18986
Author: | Νιτσάκου, Αικατερίνη |
Title: | The predictive power of regime-switching models for stock market returns. |
Date Issued: | 2016 |
Department: | Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στην Οικονομική Επιστήμη |
Supervisor: | Παντελίδης, Θεολόγος |
Abstract: | Nowadays, nonlinearity plays an important role in predicting economic and financial variables. The objective of this paper is to investigate the out-of-sample forecasting performance of a regime-switching model for three stock markets. We examine whether the nonlinear regime-switching model improves predictions compared to linear models. We first evaluate all the models by computing forecast error criteria, we then check for statistical significance and in the end we implement a robustness test. Eventually, the regime-switching model outperforms only the random walk and has equal predictive power to the autoregressive model. |
Keywords: | Predictability Markov regime-switching models Stock market returns Nonlinearity |
Information: | Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2016. |
Appears in Collections: | ΔΠΜΣ Οικονομική Επιστήμη (M) |
Files in This Item:
File | Description | Size | Format | |
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NitsakouAikateriniMsc2016.pdf | 487.39 kB | Adobe PDF | View/Open | |
NitsakouAikateriniMsc2016present.pdf | Παρουσίαση | 437.18 kB | Adobe PDF | View/Open |
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