Hidden Markov models with threshold effects and their applications to oil price forecasting

DOI10.3934/JIMO.2016045MaRDI QIDQ2628183zbMATH OpenOpenAlexFDO

Authors Wai-Ki Ching, Robert J. Elliott, Tak Kuen Siu, Lianmin Zhang, Dong-Mei Zhu

Publication date 12 June 2017

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2016045

zbMATH Keywords

filteringforecastinghidden Markov modeloil pricethreshold effect

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Stochastic programming (90C15) Markov and semi-Markov decision processes (90C40)

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Cites work

• A hidden Markov regime-switching model for option valuation
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• Adaptive signal processing of asset price dynamics with predictability analysis
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• Asset price dynamics, volatility, and prediction.
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• Filtering a Double Threshold Model With Regime Switching
• scientific article; zbMATH DE number 3700075 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
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• Modeling default data via an interactive hidden Markov model
• On filtering and estimation of a threshold stochastic volatility model
• On pricing and hedging options in regime-switching models with feedback effect
• On the optimal filtering of diffusion processes
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• Ruin Theory in a Hidden Markov-Modulated Risk Model
• Smoothed Parameter Estimation for a Hidden Markov Model of Credit Quality
• Threshold models in non-linear time series analysis

Cited in

(3)

• Kernel-based hidden Markov conditional densities
• A hidden Markov regime-switching smooth transition model
• A Markov regime-switching model for crude-oil markets: Comparison of composite likelihood and full likelihood

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