Simple and extended Kalman filters : an application to term structure of commodity prices
| Year of publication: |
2003-06
|
|---|---|
| Authors: | Galli, Alain ; Lautier, Delphine |
| Institutions: | Université Paris-Dauphine (Paris IX) |
| Subject: | Term structure | Kalman filter | Crude oil | Futures prices | Commodity prices |
| Series: | |
|---|---|
| Type of publication: | Book / Working Paper |
| Classification: | O13 - Agriculture; Natural Resources; Energy; Environment; Other Primary Products |
| Source: |
Persistent link: https://www.econbiz.de/10010707155