Filtering and forecasting commodity futures prices under an HMM framework
Year of publication: |
2013
|
---|---|
Authors: | Date, Paresh ; Mamon, Rogemar ; Tenyakov, Anton |
Published in: |
Energy Economics. - Elsevier, ISSN 0140-9883. - Vol. 40.2013, C, p. 1001-1013
|
Publisher: |
Elsevier |
Subject: | Markov chain | Change of measure | Multivariate HMM filtering | Oil future prices |
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