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Original Articles

Modelling commodity prices using continuous time models

Pages 341-345 | Published online: 06 Oct 2010

References

  • Chan , K. C. , Karolyi , G. A. , Longstaff , F. A. and Sanders , A. B. 1992 . An empirical comparison of alternative models of the short- term interest rate . Journal of Finance , 3 : 1209 – 1227 .
  • Hansen , L. P. 1982 . Large sample properties of generalized methods of moments estimators . Econometrica , 50 : 1029 – 1053 .
  • Newey , W. K. and West , K. D. 1987 . A simple, positive semidefinite, heteroskedasticity and autocorrelation consistent covariance matrix . Econometrica , 55 : 703 – 708 .
  • Nowman , K. B. 1998 . Continuous time short rate interest rate models . Applied Financial Economics , 8 : 401 – 407 .

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