msz13
commented
4 weeks ago Modele:
- regime switching bayesian vector autoagression
- macro : regimy high growth-low inflation, stagflation, high growth-hight inflation, low growth - low inflation - na podstawie amerykańskich czynników macro, dla cash i inflation przyjać zerowe std
HMM
HMM tutorial https://www.cs.ubc.ca/~murphyk/Software/HMM/rabiner.pdf
Regime Shifts: Implications for Dynamic Strategies https://github.com/tianyu-z/Kritzman-Regime-Detection/tree/master
THE DETERMINANTS OF INFLATION https://www.statestreet.com/web/insights/articles/documents/ssa-the-determinants-of-inflation-061322_4787363.1.1.GBL.pdf
Regime switching volatility calibration by the Baum–Welch method comparison with Hamilton filter https://www.sciencedirect.com/science/article/pii/S0377042710002190#sec4
HMM Regime Shifts https://backend.orbit.dtu.dk/ws/portalfiles/portal/152802375/phd465_Nystrup_P.pdf
Global Stock Selection with Hidden Markov Model https://www.mdpi.com/2227-9091/9/1/9
Synchronisation Multivariate Regime Switching https://www.e-helvetica.nb.admin.ch/api/download/urn%3Anbn%3Ach%3Abel-462661%3Adis4380.pdf/dis4380.pdf
International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences https://papers.ssrn.com/sol3/papers.cfm?abstract_id=676023
Strategic Asset Allocation and Consumption Decisions Under Multivariate Regime Switching https://papers.ssrn.com/sol3/papers.cfm?abstract_id=613461
Global Asset Allocation Strategy Using a Hidden Markov Mode https://www.researchgate.net/publication/337098769_Global_Asset_Allocation_Strategy_Using_a_Hidden_Markov_Model
https://m-dadej.github.io/MarSwitching.jl/dev/
Inflation Forecasts and European Asset Returns: A Regime-Switching Approach
https://www.mdpi.com/1911-8074/15/10/475
Hidden Markov Models - explanation https://web.stanford.edu/~jurafsky/slp3/A.pdf
Regime-Based Strategic Asset Allocation (on macro regimes) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801115
Regime switching based portfolio selection for pension funds https://www.alexandria.unisg.ch/server/api/core/bitstreams/c6c97439-c113-4e36-83ed-e12755bb0d05/content
Regime Switches in Interest Rates https://www0.gsb.columbia.edu/faculty/aang/papers/RegimeSwitching.pdf
Regime Changes and Financial Markets https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1919497
Predictability of Stock Returns and Asset Allocation Under Structural Breaks https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2182775
THE TERM STRUCTURE OF REAL RATES AND EXPECTED INFLATION https://www.nber.org/system/files/working_papers/w12930/w12930.pdf