no code implementations • 4 Aug 2021 • Peilun He, Karol Binkowski, Nino Kordzakhia, Pavel Shevchenko
We study a bivariate latent factor model for the pricing of commodity fu- tures.
no code implementations • 4 Aug 2021 • Karol Binkowski, Peilun He, Nino Kordzakhia, Pavel Shevchenko
The obtained model parameter estimates are the conditional Maximum Likelihood Estimators (MLEs) evaluated within the KF.
no code implementations • 21 Aug 2019 • Spiridon Penev, Pavel Shevchenko, Wei Wu
Typically, a quadratic function is used to define the tracking error of a portfolio and the look back approach is applied to solve the index tracking problem.