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Filtering and forecasting commodity futures prices under an HMM framework

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

We propose a model for the evolution of arbitrage-free futures prices under a regime-switching framework. The estimation of model parameters is carried out using the hidden Markov filtering algorithms. Comprehensive numerical experiments on real financial market data are provided to illustrate...

Persistent link: https://www.econbiz.de/10010868752

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

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

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

Stock market returns and climate risk in the US

Chen, Yiyang; Mamon, Rogemar; Spagnolo, Fabio; … - In: Journal of multinational financial management 77 (2025), pp. 1-20

Persistent link: https://www.econbiz.de/10015330166