Regime Switching Models for Gas Prices
Abstract
This thesis is mainly concerned with a two-state regime switching model with two Ornstein-Uhlenbeck processes and its application to modelling natural gas prices. We start from analyzing Hamilton's (2005) model, a two-state regime switching model in a discrete time setting, and his recursive filtering approach to parameter calibration. Then we discuss the efficiency of models by adding seasonality to the long term mean. We also develop a recursive Bayesian filtering approach and compare it with Hamilton's (2005) filtering approach. This Bayesian calibration approach is applicable to regime switching models in both discrete and continuous time settings.
Description
Keywords
Education--Mathematics, Economics--Finance, Statistics, Energy
Citation
Hao, K. (2016). Regime Switching Models for Gas Prices (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/27574