Bio

I am a member of the Institute for Risk and Uncertainty as a student at the Centre for Doctoral Training. My Bachelor’s degree in Mathematics is from the University of Valencia (Spain) and my Master’s degree in Decision Making under Risk and Uncertainty is from the University of Liverpool. My research aims to provide a theoretical and empirical analysis of time-varying volatility in financial markets.

Research Interests: Financial mathematics, Time series analysis and Bayesian econometrics.

Research project title: Markov-switching GARCH models: a unifying framework

Project description: The primary goal of the research is to provide a theoretical and empirical analysis of various Markov-switching GARCH models. With this aim, we first develop a parametric family of models that nests the regime-switching version of many commonly used GARCH-type models. We then provide conditions for asymptotic covariance stationarity and therefore for finite second-order moments. Further research considers conditions for the existence of moments of any order. Our family of models is a unified framework in which various Markov-switching GARCH models can be tested. Deriving statistical properties of several models as special cases of a unifying framework allows to compare how well different models reproduce stylised facts of financial data. We will provide such comparison through empirical analysis.

Supervisory team: Brendan McCabe; Olan Henry; Carmen Boado Penas

ORCID: 0000-0003-1323-5397