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Energy futures prices: term structure models with Kalman filter estimation. (English) Zbl 1016.91033
In this paper the authors discusses a general multi-factor model of future prices which can be used to model the behaviour of futures contracts for energy commodities. The future prices are defined in terms of a spot price which in general does not represent the price of a tradable asset. The authors develop a state space formulation and implement Kalman filter techniques and maximum likelihood estimation to determine the model parameters. A number of estimations are performed for illustration.

91B24 Microeconomic theory (price theory and economic markets)
Full Text: DOI
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