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

Author

Listed:
  • Delphine Lautier

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris sciences et lettres - CNRS - Centre National de la Recherche Scientifique)

Abstract

No abstract is available for this item.

Suggested Citation

  • Delphine Lautier, 2004. "Simple and extended Kalman filters : an application to term structures of commodity prices," Post-Print halshs-00152998, HAL.
    • Handle: RePEc:hal:journl:halshs-00152998
    as

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    Citations

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    Cited by:

    1. Eric Benhamou, 2018. "Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets," Papers 1811.11618, arXiv.org, revised Dec 2018.
    2. Lubnau, Thorben & Todorova, Neda, 2015. "Trading on mean-reversion in energy futures markets," Energy Economics, Elsevier, vol. 51(C), pages 312-319.
    3. Thomas Aspinall & Adrian Gepp & Geoff Harris & Simone Kelly & Colette Southam & Bruce Vanstone, 2021. "Estimation of a term structure model of carbon prices through state space methods: The European Union emissions trading scheme," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(2), pages 3797-3819, June.
    4. Islyaev, Suren & Date, Paresh, 2015. "Electricity futures price models: Calibration and forecasting," European Journal of Operational Research, Elsevier, vol. 247(1), pages 144-154.
    5. Lubnau, Thorben, 2014. "Spread trading strategies in the crude oil futures market," Discussion Papers 353, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.

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