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dc.contributor.authorFernández Macho, Francisco Javier
dc.description.abstractWe propose a two-dimensional Kalman filter approach that, additional to the information contained in futures prices evolution over time, makes use of information contained in the term structure of commodity futures along a second dimension of maturities. This time-maturity surface reflects a complete realization of the stochastic process as an alternative to standard Kalman filtering of a limited vector of futures prices along the one-dimensional time line. Thus, the proposed methodology may use the full information from the entire surface dynamics, including links from all available maturities per period, which eventually should lead to more accurate model parameter estimates. The technique is illustrated using coal futures
dc.description.sponsorshipUPV/EHU Econometrics Research Group, Basque Government grant GIC07/
dc.relation.ispartofseriesBiltoki 2011.05
dc.subjectcommodity priceses
dc.subjecttwo-dimensional Kalman filteres
dc.subjectspatial analysises
dc.subjectenergy marketses
dc.subjectfutures marketses
dc.subjectstochastic dynamic modeles
dc.titleStochastic Surface Models for Commodity Futures: A 2D Kalman Filter Approaches
dc.rights.holderAttribution-NonCommercial-NoDerivs 3.0 Unported*
dc.departamentoesEconomía aplicada III (Econometría y Estadística)es_ES
dc.departamentoeuEkonomia aplikatua III (ekonometria eta estatistika)es_ES

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Attribution-NonCommercial-NoDerivs 3.0 Unported
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivs 3.0 Unported