Theses and Dissertations from UMD

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New submissions to the thesis/dissertation collections are added automatically as they are received from the Graduate School. Currently, the Graduate School deposits all theses and dissertations from a given semester after the official graduation date. This means that there may be up to a 4 month delay in the appearance of a give thesis/dissertation in DRUM

More information is available at Theses and Dissertations at University of Maryland Libraries.

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Author: search.filters.author.Paliouras, Dimitrios V.Subject: search.filters.subject.Economics, Finance

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    Comparing Regime-Switching Models In Time Series: Logistic Mixtures vs. Markov Switching
    (2007-05-16) Paliouras, Dimitrios V.; Kedem, Benjamin; Applied Mathematics and Scientific Computation; Digital Repository at the University of Maryland; University of Maryland (College Park, Md.)
    The purpose of this thesis is to review several related regime-switching time series models. Specifically, we use simulated data to compare models where the unobserved state vector follows a Markov process against an independent logistic mixture process. We apply these techniques to crude oil and heating oil futures prices using several explanatory variables to estimate the unobserved regimes. We find that crude oil is characterized by regime switching, where prices alternate between a high volatility state with low returns and significant mean reversion and a low volatility state with positive returns and some trending. The spread between one-month and three-month futures prices is an important determinant in the dynamics of crude oil prices.