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Parameter estimation in commodity markets: A filtering approach

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  • Elliott, Robert J.
  • Hyndman, Cody. B.
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    File URL: http://www.sciencedirect.com/science/article/B6V85-4M04DVJ-1/2/fb1c2ae1835a47c5f1109fdef5c2f9b0
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 31 (2007)
    Issue (Month): 7 (July)
    Pages: 2350-2373

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    Handle: RePEc:eee:dyncon:v:31:y:2007:i:7:p:2350-2373

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    Web page: http://www.elsevier.com/locate/jedc

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    References

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    1. Eduardo S. Schwartz, 1998. "Valuing Long-Term Commodity Assets," Financial Management, Financial Management Association, vol. 27(1), Spring.
    2. Gibson, Rajna & Schwartz, Eduardo S, 1990. " Stochastic Convenience Yield and the Pricing of Oil Contingent Claims," Journal of Finance, American Finance Association, vol. 45(3), pages 959-76, July.
    3. Schwartz, Eduardo, 1998. "Valuing long-term commodity assets," Journal of Energy Finance & Development, Elsevier, vol. 3(2), pages 85-99.
    4. Mihaela Manoliu & Stathis Tompaidis, 2002. "Energy futures prices: term structure models with Kalman filter estimation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(1), pages 21-43.
    5. Lautier, Delphine & Javaheri, Alireza & Galli, Alain, 2003. "Filtering in Finance," Economics Papers from University Paris Dauphine 123456789/871, Paris Dauphine University.
    6. Eduardo Schwartz & James E. Smith, 2000. "Short-Term Variations and Long-Term Dynamics in Commodity Prices," Management Science, INFORMS, vol. 46(7), pages 893-911, July.
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    Cited by:
    1. Date, Paresh & Mamon, Rogemar & Tenyakov, Anton, 2013. "Filtering and forecasting commodity futures prices under an HMM framework," Energy Economics, Elsevier, vol. 40(C), pages 1001-1013.

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