Latent jump diffusion factor estimation for commodity futures
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DOI: 10.1016/j.jcomm.2018.01.001
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More about this item
Keywords
Latent factors; Jumps; Non-Gaussian state space models; Modified Kalman filter; Commodity futures;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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