University of Illinois Urbana-Champaign

Kalman filter estimates of the MMI cash-futures spread on October 19 and 20, 1987

Bassett, Gilbert W.; France, Virginia G.; Pliska, Stanley R.

Content Files
kalmanfilteresti1591bass.pdf

Permalink

https://hdl.handle.net/2142/29864

Description

Title
Kalman filter estimates of the MMI cash-futures spread on October 19 and 20, 1987
Author(s)
  • Bassett, Gilbert W.
  • France, Virginia G.
  • Pliska, Stanley R.
Issue Date
1989-08
Date of Ingest
2012-02-15T17:29:52Z
Publisher
[Urbana-Champaign] : College of Commerce and Business Administration, University of Illinois Urbana-Champaign,
Series/Report Name or Number
BEBR faculty working paper ; no. 1591
Type of Resource
text
Language
eng
Permalink
http://hdl.handle.net/2142/29864
Has Version(s)
  • http://hdl.handle.net/10111/UIUCOCA:kalmanfilteresti1591bass
  • http://www.archive.org/details/kalmanfilteresti1591bass
Copyright and License Information
Copyright 1989 Board of Trustees University of Illinois.

Owning Collections

Faculty Working Paper - Bureau of Economic and Business Research PRIMARY