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Topics in Financial Asset Pricing: Equity Premium Puzzle and HMM Models for Equity Market Returns
I propose a long run risk model with two shocks based on Bansal and Yaron's well-known long-run risk model, to better capture the movements of financial markets and the US economy. My model helps resolve the equity premium ...
Segmentation of Financial and Marketing Data: Mixture Logit model and Hidden Markov Model
Segmentation refers to the assignment of each consumer to a set of similar consumers. The formation of the sets and the assignments are done simultaneously in an algorithm. We focus on utilizing the Mixture Logit Model ...