Measuring bias in a term-structure model of commodity prices through the comparison of simultaneous and sequential estimation
This study examines bias in a term-structure model of commodity prices in specifying the true stochastic dynamics of underlying spot price. The bias is quantified by comparing the model estimated by the conventional method of estimating all model parameters simultaneously with a panel of futures pri...
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| Format: | Journal Article |
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Elsevier Science
2013
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| Online Access: | http://hdl.handle.net/20.500.11937/45840 |