Simple and extended Kalman filters: an application to term structure of commodity prices

Delphine Lautier () 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; term structure; crude oil prices (search for similar items in EconPapers)
Date: 2004-03
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Citations: View citations in EconPapers (4)

Published in Crossing frontiers in quantitative and qualitative research methods, Mar 2004, Lyon, France. pp.00

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00153042

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