An alternative method to estimate parameters in modelling the behaviour of commodity prices

DOI10.1080/14697688.2015.1096417MaRDI QIDQ5001194zbMATH OpenOpenAlexFDO

Authors Andrés García Mirantes, Beatriz Larraz, Javier Población

Publication date 16 July 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2015.1096417

zbMATH Keywords

commodity pricesfutures pricesKalman filtersliquidityrisk measurement

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(3)

• Parameter estimation in commodity markets: a filtering approach
• The Carlson-Parkin method applied to NZ price expectations using QSBO survey data
• A new definition for time-dependent price mean reversion in commodity markets

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