Filtering in finance

Delphine Lautier (lautier@cerna.ensmp.fr), Alireza Javaheri and Alain Galli
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Delphine Lautier: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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Keywords: Kalman filter; extended Kalman filter; particle filter; term structure; commodity prices; stock prices (search for similar items in EconPapers)
Date: 2003-05
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Citations: View citations in EconPapers (16)

Published in Wilmot magazine, 2003, 5, pp.67-83

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00153006

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