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Regime Switching Models in Stock Market Returns and the Economic Cycle

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thesis
posted on 11.06.2014, 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.

History

Advisor

Sclove, Stanley L.

Department

Information and Decision Sciences

Degree Grantor

University of Illinois at Chicago

Degree Level

Doctoral

Committee Member

Chen, Rong Bassett Jr., Gilbert W. Lee, Jin Man Wang, Fangfang

Submitted date

2012-08

Language

en

Issue date

10/12/2012

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