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Full-Text Articles in Statistical Models
Early-Warning Alert Systems For Financial-Instability Detection: An Hmm-Driven Approach, Xing Gu
Early-Warning Alert Systems For Financial-Instability Detection: An Hmm-Driven Approach, Xing Gu
Electronic Thesis and Dissertation Repository
Regulators’ early intervention is crucial when the financial system is experiencing difficulties. Financial stability must be preserved to avert banks’ bailouts, which hugely drain government's financial resources. Detecting in advance periods of financial crisis entails the development and customisation of accurate and robust quantitative techniques. The goal of this thesis is to construct automated systems via the interplay of various mathematical and statistical methodologies to signal financial instability episodes in the near-term horizon. These signal alerts could provide regulatory bodies with the capacity to initiate appropriate response that will thwart or at least minimise the occurrence of a financial crisis. …
Some Applications Of Higher-Order Hidden Markov Models In The Exotic Commodity Markets, Heng Xiong
Some Applications Of Higher-Order Hidden Markov Models In The Exotic Commodity Markets, Heng Xiong
Electronic Thesis and Dissertation Repository
The liberalisation of regional and global commodity markets over the last several decades resulted in certain commodity price behaviours that require new modelling and estimation approaches. Such new approaches have important implications to the valuation and utilisation of commodity derivatives. Derivatives are becoming increasingly crucial for market participants in hedging their exposure to volatile price swings and in managing risks associated with derivative trading. The modelling of commodity-based variables is an integral part of risk management and optimal-investment strategies for commodity-linked portfolios. The characteristics of commodity price evolution cannot be captured sufficiently by one-state driven models even with the inclusion …