On the Parameter Estimation in the Schwartz-Smith’s Two-Factor Model
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Publication:3305509
DOI10.1007/978-981-15-1960-4_16zbMath1445.62041arXiv2108.01881OpenAlexW2996994397MaRDI QIDQ3305509
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Publication date: 7 August 2020
Published in: Communications in Computer and Information Science (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2108.01881
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Point estimation (62F10) Foundations and philosophical topics in statistics (62A01) Statistical aspects of big data and data science (62R07)
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Cites Work
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- On parameter estimation of the hidden Ornstein-Uhlenbeck process
- On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman filter
- Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts
- Time Series Analysis and Its Applications
- Parameter Estimation for a Bidimensional Partially Observed Ornstein-Uhlenbeck Process with Biological Application
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