Markov Regime Switching Model Implementation to the Stockholm Stock Market & Comparison with Equal Weight Portfolio
The unpredictable behaviour of financial time series has long been a concern for econometricians, making it difficult to find appropriate models with a satisfactory fit. The Markov regime switching model is a popular approach, much in behalf of the way it takes the shifts in the time series behaviour into account. The model in this thesis is based on a mixture of normal distributions, extended to