Component structures of agricultural commodity futures traded on the Tokyo grain exchange

DOI10.1007/s10690-007-9032-2zbMath1131.91380OpenAlexW2007303459MaRDI QIDQ878213

Ramaprasad Bhar, Shigeyuki Hamori

Publication date: 26 April 2007

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-007-9032-2

zbMATH Keywords

Kalman filteragricultural futuresFads

Mathematics Subject Classification ID

Mathematical economics (91B99)

Related Items (1)

A class of Gaussian hybrid processes for modeling financial markets

Cites Work

• Analysing yield spread and output dynamics in an endogenous Markov switching regression framework
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