On correlated measurement errors in the Schwartz–Smith two-factor model
The Schwartz–Smith two-factor model is commonly used for pricing of derivatives in commodity markets. For estimating and forecasting the term structures of futures prices, the logarithm of commodity spot price is represented as the sum of short- and long-term factors being the unobservable state var...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2022-05-01
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| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2022-0106 |