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Financial economics / Economics / Control theory / Markov models / Options / Kalman filter / Futures contract / Autoregressive conditional heteroskedasticity / Stochastic volatility / Statistics / Time series analysis / Mathematical finance


A multicommodity model of futures prices: Using futures prices of one commodity to estimate the stochastic process of another
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Document Date: 2008-04-24 14:16:49

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City

Santiago / /

Company

matrix Rt. / Cox / Wiley Periodicals Inc. / Wiley InterScience / /

Country

Chile / /

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IndustryTerm

real-world applications / oil contracts / /

Organization

Fundacion COPEC-Universidad Católica / Departamento de Ingeniería Industrial / /

Person

Severino As Cortazar / Felipe Severino / Carlos Milla / Departamento de Ingeniería / Severino Let Yi / Gonzalo Cortazar / /

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Position

mp / Rt / general multicommodity model / with and without seasonality / Professor / *Correspondence author / model for the West Texas / non-stationary model for the log / /

RadioStation

Fm 1 / /

Region

West Texas / /

URL

www.interscience.wiley.com / /

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