Filtering in Finance.
Year of publication: |
2003-05
|
---|---|
Authors: | Lautier, Delphine ; Javaheri, Alireza ; Galli, Alain |
Institutions: | Université Paris-Dauphine |
Subject: | Commodity Prices | Term Structure | Stock Prices | Kalman Filter |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published in Wilmott Magazine (2003-05) v., p.67-83 |
Classification: | B23 - Econometrics; Quantitative Studies ; O13 - Agriculture; Natural Resources; Energy; Environment; Other Primary Products |
Source: |
-
Lautier, Delphine, (2003)
-
Simple and extended Kalman filters : an application to term structure of commodity prices
Galli, Alain, (2004)
-
Simple and extended Kalman filters : an application to term structures of commodity prices
Galli, Alain, (2004)
- More ...
-
Simple and extended Kalman filters : an application to term structures of commodity prices.
Galli, Alain, (2004)
-
Dynamic Hedging Strategies: An Application to the Crude Oil Market.
Lautier, Delphine, (2010)
-
Lautier, Delphine, (2003)
- More ...