Energy futures prices: term structure models with Kalman filter estimation

By M. Manoliu, S. Tompaidis. 2002

157 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

The dynamics of commodity prices (2013, unknown): “Sorensen (2002) and Manoliu and Tompaidis (2002) apply the model of Schwartz and Smith (2000) to the agricultural and natural gas futures markets, respectively.”
Can oil prices help estimate commodity futures prices? The cases of copper and silver (2010, background): “premiums (Laughton and Jacoby, 1993; Sorensen, 2002; Manoliu and Tompaidis, 2002; Cortazar and Schwartz, 2003; Casassus and Collin-Dufresne, 2005).”
A spot market model for pricing derivatives in electricity markets (2004, unknown): “Ideas from the Heath–Jarrow–Morton theory for interest rates [17] are used in [6,7,23,27] to model the dynamics of the whole futures price curve.”
An N‐factor Gaussian model of oil futures prices (2006, methodology): “The Kalman filter has been used in finance to estimate state variables of commodity price models by Schwartz (1997), Schwartz and Smith (2000), Manoliu and Tompaidis (2002), and Sørensen (2002), among others.”