TAILIEUCHUNG - Lecture Introductory Econometrics for Finance: Chapter 10 - Chris Brooks

The objectives of this chapter are to switching models. In this chapter, you will learn how to: Use intercept and slope dummy variables to allow for seasonal behaviour in time series, motivate the use of regime switching models in financial econometrics, specify and explain the logic behind Markov switching models,. | ‘Introductory Econometrics for Finance’ © Chris Brooks 2013 Chapter 10 Switching models Introductory Econometrics for Finance Copyright 2013, Chris Brooks ‘Introductory Econometrics for Finance’ © Chris Brooks 2013 Switching Models Motivation: Episodic nature of economic and financial variables. What might cause these fundamental changes in behaviour? - Wars - Financial panics - Significant changes in government policy - Changes in market microstructure - . big bang - Changes in market sentiment - Market rigidities Switches can be one-off single changes or occur frequently back and forth. Introductory Econometrics for Finance Copyright 2002, Chris Brooks ‘Introductory Econometrics for Finance’ © Chris Brooks 2013 Switching Behaviour: A Simple Example for One-off Changes Dealing with switching variables We could generalise ARMA models (again) to allow the series, yt to be drawn from two or more different generating processes at different times. . yt = 1 +

• Kinh tế học
• Econometrics for Finance
• Introductory Econometrics for Finance
• Regression model
• Purpose of econometrics
• Switching models
• Switching behaviour
• Econometric model
• Financial modelling
• Straight lines
• Statistical foundations
• Classical linear regression model
• Regression analysis
• Multiple linear regression
• Statistical distributions
• Univariate time series modelling
• Stochastic processes
• Multivariate models
• Simultaneous equations models
• Modelling long run relationship
• Stochastic non stationarity
• Modelling volatility
• GARCH models
• Panel data
• Fixed effects models
• Limited dependent variable models
• Linear probability model
• Simulation methods
• Random number generation
• Empirical research project
• Research project
• Financial data