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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, pp. 36-46
We introduce a weak hidden Markov model (WHMM) in an attempt to capture more accurately the evolution of a risky asset. The log returns of assets are modulated by a weak or higher-order Markov chain with finite-state space. In particular, the optimal estimates of the second-order Markov chain...
Persistent link: https://www.econbiz.de/10010573392
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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
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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
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An online estimation scheme for a Hull–White model with HMM-driven parameters
Erlwein, Christina; Mamon, Rogemar - In: Statistical Methods and Applications 18 (2009) 1, pp. 87-107
Persistent link: https://www.econbiz.de/10005147130