• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Aide
  • Connexion
  • Langue 
    • Français
    • English
Consulter le document 
  •   Accueil
  • DRM (UMR CNRS 7088)
  • DRM : Publications
  • Consulter le document
  •   Accueil
  • DRM (UMR CNRS 7088)
  • DRM : Publications
  • Consulter le document
JavaScript is disabled for your browser. Some features of this site may not work without it.

Afficher

Toute la baseCentres de recherche & CollectionsAnnée de publicationAuteurTitreTypeCette collectionAnnée de publicationAuteurTitreType

Mon compte

Connexion

Enregistrement

Statistiques

Documents les plus consultésStatistiques par paysAuteurs les plus consultés
Thumbnail

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

Galli, Alain; Lautier, Delphine (2004), Simple and extended Kalman filters : an application to term structures of commodity prices, Applied Financial Economics, 14, 13, p. 963-973. http://dx.doi.org/10.1080/0960310042000233629

Voir/Ouvrir
KalmanFilters.pdf (289.7Kb)
Type
Article accepté pour publication ou publié
Date
2004
Nom de la revue
Applied Financial Economics
Volume
14
Numéro
13
Éditeur
Taylor & Francis
Pages
963-973
Identifiant publication
http://dx.doi.org/10.1080/0960310042000233629
Métadonnées
Afficher la notice complète
Auteur(s)
Galli, Alain
Lautier, Delphine
Résumé (EN)
This article presents and compares two different Kalman filters. These methods provide a very interesting way to cope with the presence of non-observable variables, which is a frequent problem in finance. They are also very fast even in the presence of a large information volume. The first filter presented, which corresponds to the simplest version of a Kalman filter, can be used solely in the case of linear models. The second filter - the extended one - is a generalization of the first one, and it enables one to deal with non-linear models. However, it also introduces an approximation in the analysis, whose possible influence must be appreciated. The principles of the method and its advantages are first presented. It is then explained why it is interesting in the case of term structure models of commodity prices. Choosing a well-known term structure model, practical implementation problems are discussed and tested. Finally, in order to appreciate the impact of the approximation introduced for non-linear models, the two filters are compared.
Mots-clés
Term Structure; Commodity Future Prices; Kalman Filter
JEL
G13 - Contingent Pricing; Futures Pricing
B23 - Econometrics; Quantitative and Mathematical Studies
O13 - Agriculture; Natural Resources; Energy; Environment; Other Primary Products

Publications associées

Affichage des éléments liés par titre et auteur.

  • Vignette de prévisualisation
    Simple and extended Kalman filters : an application to term structure of commodity prices 
    Galli, Alain; Lautier, Delphine (2004) Communication / Conférence
  • Vignette de prévisualisation
    Simple and extended Kalman filters : an application to term structure of commodity prices 
    Galli, Alain; Lautier, Delphine (2003) Communication / Conférence
  • Vignette de prévisualisation
    The Kalman filter in finance: An application to term structure models of commodity prices and a comparison between the simple and the extended filters 
    Lautier, Delphine (2002) Document de travail / Working paper
  • Vignette de prévisualisation
    Valuation of an oil field using real options and the information provided by term structures of commodity prices 
    Lautier, Delphine (2003) Communication / Conférence
  • Vignette de prévisualisation
    Term Structure Models of Commodity Prices: A Review 
    Lautier, Delphine (2005) Article accepté pour publication ou publié
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Tél. : 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo