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    Anton Tenyakov, Rogemar Mamon, Matt Davison, Filtering of a Discrete-Time HMM-Driven Multivariate Ornstein-Uhlenbeck Model With Application to Forecasting Market Liquidity Regimes, IEEE Journal of Selected Topics in Signal Processing, 2016, 10, 6, 994

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    Dong-Mei Zhu, Wai-Ki Ching, Robert J. Elliott, Tak-Kuen Siu, Lianmin Zhang, Hidden Markov models with threshold effects and their applications to oil price forecasting, Journal of Industrial and Management Optimization, 2016, 13, 2, 45

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    Anton Tenyakov, Rogemar Mamon, Matt Davison, Modelling high-frequency FX rate dynamics: A zero-delay multi-dimensional HMM-based approach, Knowledge-Based Systems, 2016, 101, 142

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    Xiaojing Xi, Rogemar Mamon, Matt Davison, A Higher-Order Hidden Markov Chain-Modulated Model for Asset Allocation, Journal of Mathematical Modelling and Algorithms in Operations Research, 2014, 13, 1, 59

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    Xiaojing Xi, Rogemar Mamon, Capturing the Regime-Switching and Memory Properties of Interest Rates, Computational Economics, 2014, 44, 3, 307

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    Paresh Date, Rogemar Mamon, Anton Tenyakov, Filtering and forecasting commodity futures prices under an HMM framework, Energy Economics, 2013, 40, 1001

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