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

DOI10.1080/00207160.2022.2064192MaRDI QIDQ5044142zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

risk managementcommodity marketsdynamic model estimationprice filteringregime-switching behaviour

Mathematics Subject Classification ID

Financial markets (91G15)

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Cites work

• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• A higher-order hidden Markov chain-modulated model for asset allocation
• A partially linearized sigma point filter for latent state estimation in nonlinear time series models
• Adaptive signal processing of asset price dynamics with predictability analysis
• An examination of HMM-based investment strategies for asset allocation
• 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
• Measure change estimates for hidden Markov models
• Online estimation for a predictive analytics platform with a financial-stability-analysis application
• Optimal vs naïve diversification in cryptocurrencies
• Portfolio management with cryptocurrencies: the role of estimation risk

Cited in

(4)

• The role of white precious metals in the allocation of general asset
• Precious metals under the microscope: a high-frequency analysis
• Long-term behavior of non-ferrous metal price models with jumps
• scientific article; zbMATH DE number 7255567 (Why is no real title available?)

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