The Kalman filter in finance: An application to term structure models of commodity prices and a comparison between the simple and the extended filters
Year of publication: |
2002
|
---|---|
Authors: | Lautier, Delphine |
Institutions: | Université Paris-Dauphine (Paris IX) |
Subject: | Simple Kalman filter | Extended Kalman filter | State-space models | Non observable data | Term structure | Commodity prices | Futures prices |
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