Parameter estimation in commodity markets: a filtering approach
DOI10.1016/J.JEDC.2006.07.005zbMATH Open1163.91358OpenAlexW2116035374MaRDI QIDQ1027370FDOQ1027370
Authors: Robert J. Elliott, Cody Blaine Hyndman 
Publication date: 1 July 2009
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2006.07.005
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Point estimation (62F10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Filtering in stochastic control theory (93E11) Microeconomic theory (price theory and economic markets) (91B24)
Cites Work
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- On the convergence properties of the EM algorithm
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- Energy futures prices: term structure models with Kalman filter estimation
- Exact Finite-Dimensional Filters for Maximum Likelihood Parameter Estimation of Continuous-time Linear Gaussian Systems
- New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models
Cited In (5)
- Modelling and filtering for dynamic investment in the precious-metals market
- Credit risk and incomplete information: filtering and EM parameter estimation
- On the parameter estimation in the Schwartz-Smith's two-factor model
- An alternative method to estimate parameters in modelling the behaviour of commodity prices
- SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation
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