Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts (Q2513643): Difference between revisions
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Revision as of 01:16, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts |
scientific article |
Statements
Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts (English)
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28 January 2015
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commodity
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spot price
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stochastic volatility
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milstein
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adaptive Markov chain Monte Carlo
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particle filter
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Rao-Blackwellization
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