Transition and measurement noise correlation in affine and Gaussian models : the case of oil prices
Carla Gomes Costa de Souza, Fernando Antonio Lucena Aiube
| Year of publication: |
2021
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|---|---|
| Authors: | Souza, Carla Gomes Costa de ; Aiube, Fernando Antônio Lucena |
| Published in: |
International Journal of Financial Markets and Derivatives : IJFMD. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-7149, ZDB-ID 2545128-5. - Vol. 8.2021, 1, p. 50-64
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| Subject: | commodity factor models | Kalman filter estimation | future prices | oil prices | Ölpreis | Oil price | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis | Ölmarkt | Oil market | Korrelation | Correlation | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJFMD.2021.113858 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012510330