Catching the curl : wavelet thresholding improves forward curve modelling
Gabriel J. Power, James Eaves, Calum Turvey, Dmitry Vedenov
| Year of publication: |
August 2017
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|---|---|
| Authors: | Power, Gabriel J. ; Eaves, James ; Turvey, Calum Greig ; Vedenov, Dmitrij V. |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 64.2017, p. 312-321
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| Subject: | Forward curve | Futures prices | State-space | Kalman filter | Wavelets | Commodities | Zustandsraummodell | State space model | Rohstoffderivat | Commodity derivative | Theorie | Theory | Warenbörse | Commodity exchange | Zinsstruktur | Yield curve | Derivat | Derivative | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2017.03.032 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011761254