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Parameter estimation of an asset price model driven by a weak hidden Markov chain

Xi, Xiaojing; Mamon, Rogemar - In: Economic modelling 28 (2011) 1/2, pp. 38-46

Persistent link: https://www.econbiz.de/10009270059

Capturing the regime-switching and memory properties of interest rates

Xi, Xiaojing; Mamon, Rogemar - In: Computational economics 44 (2014) 3, pp. 307-337

Persistent link: https://www.econbiz.de/10010489078

Modelling exchange-driven fish price dynamics

Xiang, Rui; Jones, Colin; Mamon, Rogemar; Chavez, Marierose - In: Journal of Modelling in Management 16 (2021) 4, pp. 1054-1069

Purpose: This paper aims to put forward and compare two accessible approaches to model and forecast spot prices in the fishing industry. The first modelling approach is a Markov-switching model (MSM) in which a Markov chain captures different economic regimes and a stochastic convenience yield...

Persistent link: https://www.econbiz.de/10012640811

Does uncertainty affect the limits of arbitrage? : evidence from the U.S. stock markets

Chen, Weihua; Mamon, Rogemar; Xiong, Heng; Zeng, Pingping - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10015134971

Filtering and forecasting commodity futures prices under an HMM framework

Date, Paresh; Mamon, Rogemar; Tenyakov, Anton - In: Energy economics 40 (2013), pp. 1001-1013

Persistent link: https://www.econbiz.de/10010355984

HMM filtering and parameter estimation of an electricity spot price model

Erlwein, Christina; Benth, Fred Espen; Mamon, Rogemar - In: Energy economics 32 (2010) 5, pp. 1034-1043

Persistent link: https://www.econbiz.de/10008934330

Valuation of cash flows under random rates of interest : a linear algebraic approach

Date, Paresh; Mamon, Rogemar; Wang, I. C. - In: Insurance / Mathematics & economics 41 (2007) 1, pp. 84-95

Persistent link: https://www.econbiz.de/10003755674

Mortality modelling with regime-switching for the valuation of a guaranteed annuity option

Gao, Huan; Mamon, Rogemar; Liu, Xiaoming; Tenyakov, Anton - In: Insurance / Mathematics & economics 63 (2015), pp. 108-120

Persistent link: https://www.econbiz.de/10011349846

Putting a price tag on temperature

Xiong, Heng; Mamon, Rogemar - In: Computational Management Science : CMS 15 (2018) 2, pp. 259-296

Persistent link: https://www.econbiz.de/10011876585

An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks

Zhao, Yixing; Mamon, Rogemar - In: Insurance / Mathematics & economics 78 (2018), pp. 1-12

Persistent link: https://www.econbiz.de/10011825060