Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts

Gareth William Peters, Mark Briers, Pavel Shevchenko, Arnaud Doucet

Research output: Contribution to journalArticle

7 Citations (Scopus)
Original languageEnglish
Pages (from-to)841-874
JournalMethodology and Computing in Applied Probability
Volume15
Issue number4
DOIs
Publication statusPublished - 1 Dec 2013

Cite this