Simple and extended Kalman filters : an application to term structure of commodity prices
Galli, Alain; Lautier, Delphine (2003), Simple and extended Kalman filters : an application to term structure of commodity prices, Congrès de l'Association Française de FInances (AFFI), 2003-06, Lyon, France
Type
Communication / ConférenceDate
2003Conference title
Congrès de l'Association Française de FInances (AFFI)Conference date
2003-06Conference city
LyonConference country
FranceMetadata
Show full item recordSubjects / Keywords
Term structure; Kalman filter; Crude oil; Futures prices; Commodity pricesRelated items
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Galli, Alain; Lautier, Delphine (2004) Article accepté pour publication ou publié
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Galli, Alain; Lautier, Delphine (2004) Communication / Conférence
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Lautier, Delphine (2002) Document de travail / Working paper
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Lautier, Delphine (2003) Communication / Conférence
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Lautier, Delphine (2005) Article accepté pour publication ou publié