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Parameter estimation in commodity markets: A filtering approach

  • 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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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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    1. Chen, Ren-Raw & Scott, Louis, 2003. "Multi-factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a Kalman Filter Model," The Journal of Real Estate Finance and Economics, Springer, vol. 27(2), pages 143-72, September.
    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. Lautier, Delphine & Javaheri, Alireza & Galli, Alain, 2003. "Filtering in Finance," Economics Papers from University Paris Dauphine 123456789/871, Paris Dauphine University.
    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. 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.
    6. Eduardo S. Schwartz, 1998. "Valuing Long-Term Commodity Assets," Financial Management, Financial Management Association, vol. 27(1), Spring.
    7. Schwartz, Eduardo, 1998. "Valuing long-term commodity assets," Journal of Energy Finance & Development, Elsevier, vol. 3(2), pages 85-99.
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