Kalman filter estimation for valuing nontrading securities,...

Kalman filter estimation for valuing nontrading securities, with applications to the MMI cash-future spread on October 19 and 20, 1987

Gilbert W. Bassett, Virginia G. France, Stanley R. Pliska
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Volume:
1
Language:
english
Pages:
17
DOI:
10.1007/bf02409668
Date:
March, 1991
File:
PDF, 885 KB
english, 1991
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