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  • Search: subject:"3 factor stochastic volatility model"
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Year of publication
Subject
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3 factor stochastic volatility model 2 Heterogeneous agent based modelling 2 Kalman Filter 2 Runge Kutta 2 copper spot price modelling 2 Agent-based modeling 1 Agentenbasierte Modellierung 1 CAPM 1 Copper 1 Copper market 1 Kupfer 1 Kupfermarkt 1 Spot market 1 Spotmarkt 1 State space model 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Volatility 1 Volatilität 1 Zustandsraummodell 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1 Undetermined 1
Author
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Scheiber, Matthias 2 Geman, Helyette 1 Geman, Hélyette 1
Institution
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Birkbeck, Department of Economics, Mathematics & Statistics 1
Published in...
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Birkbeck Working Papers in Economics and Finance 1 Birkbeck working papers in economics and finance : BWPEF 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Spot Price Modelling of Industrial Metals – An heterogeneous agent based model for Copper
Geman, Helyette; Scheiber, Matthias - Birkbeck, Department of Economics, Mathematics & Statistics - 2014
We will show in this paper the role of inventories in explaining copper price volatility. Using a three factor model we derive a fundamental long-term value for copper. Second, we emphasis the significance of this fundamental long-term value by considering an agent based model approach in which...
Persistent link: https://www.econbiz.de/10010886259
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Cover Image
Spot price modelling of industrial metals :an heterogeneous agent based model for copper
Geman, Hélyette; Scheiber, Matthias - 2014
Persistent link: https://www.econbiz.de/10010366820
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