We propose a mean-reverting interest rate model whose mean-reverting level, speed of mean-reversion and volatility are all modulated by a weak Markov chain (WMC). This model features a simple way to capture the regime-switching evolution of the parameters as well as the memory property of the...

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...

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...

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...