Rogemar S. Mamon
Orcid: 0000-0003-0885-7685
According to our database1,
Rogemar S. Mamon
authored at least 29 papers
between 2004 and 2024.
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Online presence:
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Bibliography
2024
Comput. Stat., April, 2024
A comparison of three algorithms in the filtering of a Markov-modulated non-homogeneous Poisson process.
Int. J. Syst. Sci., March, 2024
Interfacing learning methods for anomaly detection in multi-country financial stress indicators.
Knowl. Based Syst., 2024
2023
A Hybridized Stochastic SIR-Vasiček Model in Evaluating a Pandemic Emergency Financing Facility.
IEEE Trans. Comput. Soc. Syst., 2023
Comput. Secur., 2023
2022
An enabling framework for automated extraction of signals from market information in real time.
Knowl. Based Syst., 2022
2021
An automated financial indices-processing scheme for classifying market liquidity regimes.
Int. J. Control, 2021
Online estimation for a predictive analytics platform with a financial-stability-analysis application.
Eur. J. Control, 2021
2018
2017
Risk measurement of a guaranteed annuity option under a stochastic modelling framework.
Math. Comput. Simul., 2017
A computing platform for pairs-trading online implementation via a blended Kalman-HMM filtering approach.
J. Big Data, 2017
2016
Modelling high-frequency FX rate dynamics: A zero-delay multi-dimensional HMM-based approach.
Knowl. Based Syst., 2016
Filtering of a Discrete-Time HMM-Driven Multivariate Ornstein-Uhlenbeck Model With Application to Forecasting Market Liquidity Regimes.
IEEE J. Sel. Top. Signal Process., 2016
A self-updating model driven by a higher-order hidden Markov chain for temperature dynamics.
J. Comput. Sci., 2016
2014
J. Math. Model. Algorithms Oper. Res., 2014
2013
J. Comput. Appl. Math., 2013
2012
Expert Syst. Appl., 2012
2010
A partially linearized sigma point filter for latent state estimation in nonlinear time series models.
J. Comput. Appl. Math., 2010
2009
Stat. Methods Appl., 2009
Math. Comput. Model., 2009
2008
A new moment matching algorithm for sampling from partially specified symmetric distributions.
Oper. Res. Lett., 2008
Inf. Sci., 2008
Appl. Math. Comput., 2008
2007
Recovery of Time-Dependent Parameters of a Black-Scholes-Type Equation: An Inverse Stieltjes Moment Approach.
J. Appl. Math., 2007
2006
An alternative approach to solving the Black-Scholes equation with time-varying parameters.
Appl. Math. Lett., 2006
2005
Oper. Res. Lett., 2005
2004