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Filtering and forecasting commodity futures prices under an HMM framework · Study

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ArticleFiltering and forecasting commodity futures prices under an HMM framework

Paresh M Date2013

Article2013

Filtering and forecasting commodity futures prices under an HMM framework

Paresh M Date · Rogemar S. Mamon · Anton Tenyakov

42 citations·0/0 files stored·Energy Economics

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Stochastic processes and financial applications Market Dynamics and Volatility Stock Market Forecasting Methods

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References

2006Another look at measures of forecast accuracy 2016“Options, Futures, and Other Derivatives”2003Options, Futures and Other Derivatives 1993Dynamic Asset Pricing Theory.2002AMERICAN OPTIONS WITH REGIME SWITCHING 2005Option pricing and Esscher transform under regime switching 2002Energy futures prices: term structure models with Kalman filter estimation 2009Implications of a regime-switching model on natural gas storage valuation and optimal operation

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2015Electricity futures price models: Calibration and forecasting 2017Resource extraction with a carbon tax and regime switching prices: Exercising your options 2017Inference for a change-point problem under a generalised Ornstein–Uhlenbeck setting

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2006A Regime-Switching Model for European Optionschapter · 4 shared references 2008A game theoretic approach to option valuation under Markovian regime-switching modelsarticle · 4 shared references 2010Affine Term Structure Modelschapter · 3 shared references 1998A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricingchapter · 3 shared references 2004Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontierarticle · 3 shared references 2009Operator splitting methods for pricing American options under stochastic volatilityarticle · 3 shared references

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Year2013

Typearticle

Published2013-06-13

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations42

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.eneco.2013.05.016

openalex_workW2078086293

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