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Dynamic Index Tracking with Regime Switching applied to Swiss Market Index


B. Liu

Master Thesis, HS15 (10431)

The financial market’s dynamic exhibits time-varying characteristics such as changes in volatilities and expected returns. These changes are of essential interest for the investors since they represent a main risk source for long-term investment plans. In this thesis the so-called regime-switching effect which describes this market behaviour is studied for a regional equity market by applying a regime-dependent tracking-error minimization strategy to it. The result shows that the stock returns are influenced by different macroeconomic factors during regimes. But in the sense of tracking-error optimization where the excess returns of the stocks over a benchmark are minimized, the variance-covariance matrix structure of the excess returns is obtained for different regimes.

Supervisors: Olivier Müller (CS), Angelos Georghiou, John Lygeros


Type of Publication:

(12)Diploma/Master Thesis

J. Lygeros

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% Autogenerated BibTeX entry
@PhdThesis { Xxx:2016:IFA_5438
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