Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts (Q2513643)
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scientific article; zbMATH DE number 6391875
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| English | Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts |
scientific article; zbMATH DE number 6391875 |
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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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0.8062909245491028
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0.8062909245491028
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0.7913633584976196
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0.7788912653923035
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0.7729470133781433
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