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Download fileRegime Switching Models in Stock Market Returns and the Economic Cycle
thesis
posted on 2014-06-11, 00:00 authored by Yu ChenThis 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.
History
Advisor
Sclove, Stanley L.Department
Information and Decision SciencesDegree Grantor
University of Illinois at ChicagoDegree Level
- Doctoral
Committee Member
Chen, Rong Bassett Jr., Gilbert W. Lee, Jin Man Wang, FangfangSubmitted date
2012-08Language
- en