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 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

Access to Document

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AU - Peters, Gareth William

AU - Briers, Mark

AU - Shevchenko, Pavel

AU - Doucet, Arnaud

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