Simple and extended Kalman filters : an application to term structures of commodity prices
Year of publication: |
2004-09
|
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Authors: | Galli, Alain ; Lautier, Delphine |
Institutions: | Université Paris-Dauphine (Paris IX) |
Subject: | Term Structure | Commodity Future Prices | Kalman Filter |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in Applied Financial Economics, 2004, Vol. 14, no. 13. pp. 963-973.Length: 10 pages |
Classification: | G13 - Contingent Pricing; Futures Pricing ; B23 - Econometrics; Quantitative Studies ; O13 - Agriculture; Natural Resources; Energy; Environment; Other Primary Products |
Source: |
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Simple and extended Kalman filters : an application to term structures of commodity prices.
Galli, Alain, (2004)
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Lautier, Delphine, (2003)
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