Chen_Yu.pdf (1.48 MB)
Regime Switching Models in Stock Market Returns and the Economic Cycle
thesisposted on 2014-06-11, 00:00 authored by Yu Chen
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.
AdvisorSclove, Stanley L.
DepartmentInformation and Decision Sciences
Degree GrantorUniversity of Illinois at Chicago
Committee MemberChen, Rong Bassett Jr., Gilbert W. Lee, Jin Man Wang, Fangfang