Ke Tang

Tsinghua University - School of Economics & Management

Beijing, 100084

China

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Latent Jump Diffusion Factor Estimation for Commodity Futures

Number of pages: 47 Posted: 30 Jul 2015 Last Revised: 18 Dec 2017
University of Cambridge - Centre for Financial Research, University of Cambridge - Centre for Financial Research and Tsinghua University - School of Economics & Management
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Abstract:

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latent factors, jumps, non-Gaussian state space models, modified Kalman filter, commodity futures