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Regime Switching Models in Stock Market Returns and the Economic Cycle

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Title: Regime Switching Models in Stock Market Returns and the Economic Cycle
Author(s): Chen, Yu
Advisor(s): Sclove, Stanley L.
Contributor(s): Chen, Rong; Bassett Jr., Gilbert W.; Lee, Jin Man; Wang, Fangfang
Department / Program: Information and Decision Sciences
Graduate Major: Business Administration
Degree Granting Institution: University of Illinois at Chicago
Degree: PhD, Doctor of Philosophy
Genre: Doctoral
Subject(s): Stock Market Business Cycle Regime Switching
Abstract: This dissertation is the summary of my research in the field of regime switching effects on the US equity market and US economy. We used regime switching models on market index and factors to capture financial market condition changes. We then tested the relationship changes between different assets, and constructed a portfolio rebalance method that uses the market regime information. Also, we applied regime switching models to US GDP and GDP components, to find ways to interpret and predict the US business cycle, especially recessions.
Issue Date: 2012-12-10
Genre: thesis
URI: http://hdl.handle.net/10027/9315
Rights Information: Copyright 2012 Yu Chen
Date Available in INDIGO: 2012-12-10
Date Deposited: 2012-08
 

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