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Simple and extended Kalman filters : an application to term structure of commodity prices

Galli, Alain; Lautier, Delphine (2004), Simple and extended Kalman filters : an application to term structure of commodity prices, Crossing frontiers in quantitative and qualitative research methods, 2004-03, Lyon, France

Type
Communication / Conférence
Date
2004
Conference title
Crossing frontiers in quantitative and qualitative research methods
Conference date
2004-03
Conference city
Lyon
Conference country
France
Metadata
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Author(s)
Galli, Alain
Lautier, Delphine
Subjects / Keywords
Commodity prices; Kalman filter; Term structure; Crude oil prices
JEL
B23 - Econometrics; Quantitative and Mathematical Studies
O13 - Agriculture; Natural Resources; Energy; Environment; Other Primary Products