On Modelling of Crude Oil Futures in a Bivariate State-Space Framework
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Publisher
Springer International Publishing
Link
https://link.springer.com/content/pdf/10.1007/978-3-030-78965-7_40
Reference11 articles.
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3. Cortazar, G., Millard, C., Ortega, H., Schwartz, E.S.: Commodity price forecasts, futures prices, and pricing models. Manag. Sci. 65, 4141–4155 (2019)
4. De Jong, P.: Smoothing and interpolation with the state-space model. J. Am. Stat. Assoc. 84, 1085–1088 (1989)
5. Ewald, C.O., Zhang, A., Zong, Z.: On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter. Ann. Oper. Res. 282, 119–130 (2019)
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