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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 / Conférence
Date
2003
Conference title
Congrès de l'Association Française de FInances (AFFI)
Conference date
2003-06
Conference city
Lyon
Conference country
France
Metadata
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Author(s)
Galli, Alain
Lautier, Delphine
Subjects / Keywords
Term structure; Kalman filter; Crude oil; Futures prices; Commodity prices
JEL
O13 - Agriculture; Natural Resources; Energy; Environment; Other Primary Products