Calibration and Filtering for Multi Factor Commodity Models with Seasonality : Incorporating Panel Data from Futures Contracts
Year of publication: |
2014
|
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Authors: | Peters, Gareth |
Other Persons: | Briers, Mark (contributor) ; Shevchenko, Pavel V. (contributor) ; Doucet, Arnaud (contributor) |
Publisher: |
[2014]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Rohstoffderivat | Commodity derivative | Warenbörse | Commodity exchange | Saisonale Schwankungen | Seasonal variations |
Description of contents: | Abstract [papers.ssrn.com] |
Extent: | 1 Online-Ressource |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Methodology and Computing in Applied Probability 15(4), pp. 841-874, December 2013, DOI 10.1007/s11009-012-9286-7 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 11, 2011 erstellt Volltext nicht verfügbar |
Classification: | C1 - Econometric and Statistical Methods: General |
Source: | ECONIS - Online Catalogue of the ZBW |
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