Skip to Main content Skip to Navigation
Theses

Structures Markoviennes cachées et modèles à corrélations conditionnelles dynamiques: extensions et applications aux corrélations d'actifs financiers.

Abstract : The objective of this thesis is to study the modelling of change in regime in the dynamic conditional correlation models. We focus particularly on the Markov-switching approach. Unlike the standard approach based on the Hidden Markov Model (HMM), we use extensions of HMM coming from probabilistic graphical models theory. This discipline has in fact proposed many derivations of the basic model to model complex structures. Thus, this thesis can be view at the interface of two disciplines: financial econometrics and probabilistic graphical models. The first essay presents a model constructed from a hierarchical hidden Markov which allows to increase the granularity of the regimes. It can be seen as a special case of RSDC model (Regime Switching for Dynamic Correlations). Based on the hierarchical HMM, our model can capture nuances of regimes that are ignored by the classical Markov-Switching approach. The second contribution proposes a Markov-switching version of the DCC model that is built from the factorial HMM. While the classical Markov-switching approach assumes that all elements of the correlation matrix follow the same switching dynamic, our model allows all elements of the correlation matrix to have their own switching dynamic. In the final contribution, we propose a model DCC constructed based on a decision tree. The objective of this tree is to link the level of volatility with the level of individual correlations. For this, we use a hidden Markov decision tree, which is an extension of HMM.
Document type :
Theses
Complete list of metadatas

Cited literature [3 references]  Display  Hide  Download

https://tel.archives-ouvertes.fr/tel-00614498
Contributor : Philippe Charlot <>
Submitted on : Friday, August 12, 2011 - 12:28:47 AM
Last modification on : Friday, July 17, 2020 - 8:48:23 AM
Long-term archiving on: : Monday, November 12, 2012 - 3:20:43 PM

Identifiers

  • HAL Id : tel-00614498, version 1

Collections

Citation

Philippe Charlot. Structures Markoviennes cachées et modèles à corrélations conditionnelles dynamiques: extensions et applications aux corrélations d'actifs financiers.. Economies et finances. Université de la Méditerranée - Aix-Marseille II, 2010. Français. ⟨tel-00614498⟩

Share

Metrics

Record views

854

Files downloads

1256