Modelling and filtering for dynamic investment in the precious-metals market

DOI10.1080/00207160.2022.2064192OpenAlexW4226151280MaRDI QIDQ5044142FDOQ5044142

Authors: Jonathan Mamplata, Guido David, Rogemar Mamon 

Publication date: 24 October 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2022.2064192

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zbMATH Keywords

risk managementcommodity marketsdynamic model estimationprice filteringregime-switching behaviour

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

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• Adaptive signal processing of asset price dynamics with predictability analysis
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• Estimating stochastic discount factor models with hidden regimes: applications to commodity pricing
• Horses for courses: mean-variance for asset allocation and \(1/N\) for stock selection
• Online estimation for a predictive analytics platform with a financial-stability-analysis application

Cited In (2)

• Title not available (Why is that?)
• Long-term behavior of non-ferrous metal price models with jumps

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