Simple and extended Kalman filters : an application to term structure of commodity prices
Date
2003Dewey
Economie financièreSujet
Term structure; Kalman filter; Crude oil; Futures prices; Commodity pricesJEL code
O13Conference name
Congrès de l'Association Française de FInances (AFFI)Conference date
06-2003Conference city
LyonConference country
FranceCollections
Metadata
Show full item recordAuthor
Galli, Alain
Lautier, Delphine