Simple and extended Kalman filters : an application to term structures of commodity prices
Delphine Lautier and Alain Galli
| Year of publication: |
2004
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|---|---|
| Authors: | Lautier, Delphine ; Galli, Alain |
| Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 14.2004, 13, p. 963-973
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| Subject: | Rohstoffpreis | Commodity price | Rohstoffderivat | Commodity derivative | Theorie | Theory | Zustandsraummodell | State space model |
| 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/10002195491