Filtering and forecasting commodity futures prices under an HMM framework
Paresh Date; Rogemar Mamon; Anton Tenyakov
| Year of publication: |
2013
|
|---|---|
| Authors: | Date, Paresh ; Mamon, Rogemar ; Tenyakov, Anton |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 40.2013, p. 1001-1013
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| Subject: | Markov chain | Change of measure | Multivariate HMM filtering | Oil future prices | Rohstoffderivat | Commodity derivative | Markov-Kette | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Prognoseverfahren | Forecasting model | Ölpreis | Oil price | Rohstoffpreis | Commodity price | Warenbörse | Commodity exchange |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010355984