Regime Switching Models for Gas Prices
| atmire.migration.oldid | 5131 | |
| dc.contributor.advisor | Ware, Antony Frank | |
| dc.contributor.author | Hao, Kunlin | |
| dc.contributor.committeemember | Swishchuk, Anatoliy | |
| dc.contributor.committeemember | Sick, Gordon Arthur | |
| dc.date.accessioned | 2016-11-30T22:39:09Z | |
| dc.date.available | 2016-11-30T22:39:09Z | |
| dc.date.issued | 2016 | |
| dc.date.submitted | 2016 | en |
| dc.description.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. | en_US |
| dc.identifier.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 | en_US |
| dc.identifier.doi | http://dx.doi.org/10.11575/PRISM/27574 | |
| dc.identifier.uri | http://hdl.handle.net/11023/3470 | |
| dc.language.iso | eng | |
| dc.publisher.faculty | Graduate Studies | |
| dc.publisher.institution | University of Calgary | en |
| dc.publisher.place | Calgary | en |
| dc.rights | University of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission. | |
| dc.subject | Education--Mathematics | |
| dc.subject | Economics--Finance | |
| dc.subject | Statistics | |
| dc.subject | Energy | |
| dc.subject.classification | Natural Gas Prices | en_US |
| dc.subject.classification | Regime Switching Model | en_US |
| dc.title | Regime Switching Models for Gas Prices | |
| dc.type | master thesis | |
| thesis.degree.discipline | Mathematics and Statistics | |
| thesis.degree.grantor | University of Calgary | |
| thesis.degree.name | Master of Science (MSc) | |
| ucalgary.item.requestcopy | true |