Filtering and forecasting commodity futures prices under an HMM framework
Year of publication: |
2013
|
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Authors: | Date, Paresh ; Mamon, Rogemar ; Tenyakov, Anton |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 40.2013, p. 1001-1013
|
Subject: | Markov chain | Change of measure | Multivariate HMM filtering | Oil future prices | Theorie | Theory | Rohstoffderivat | Commodity derivative | Markov-Kette | Zeitreihenanalyse | Time series analysis | Ölpreis | Oil price | Prognoseverfahren | Forecasting model | Rohstoffpreis | Commodity price | Zustandsraummodell | State space model |
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