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

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	841-874
Journal	Methodology and Computing in Applied Probability
Volume	15
Issue number	4
DOIs	https://doi.org/10.1007/s11009-012-9286-7
Publication status	Published - 1 Dec 2013

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

author = "Peters, \{Gareth William\} and Mark Briers and Pavel Shevchenko and Arnaud Doucet",

year = "2013",

month = dec,

day = "1",

doi = "10.1007/s11009-012-9286-7",

language = "English",

volume = "15",

pages = "841--874",

journal = "Methodology and Computing in Applied Probability",

issn = "1387-5841",

publisher = "Springer Netherlands",

number = "4",

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T1 - Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts

AU - Peters, Gareth William

AU - Briers, Mark

AU - Shevchenko, Pavel

AU - Doucet, Arnaud

PY - 2013/12/1

Y1 - 2013/12/1

U2 - 10.1007/s11009-012-9286-7

DO - 10.1007/s11009-012-9286-7

M3 - Article

SN - 1387-5841

VL - 15

SP - 841

EP - 874

JO - Methodology and Computing in Applied Probability

JF - Methodology and Computing in Applied Probability

IS - 4

ER -