Kalman filter estimates of the MMI cash-futures spread on October 19 and 20, 1987
By: Gilbert W. Bassett, Virginia G. France, Stanley R. Pliska
Contributors: France, Virginia G.; Pliska, Stanley R.; University of Illinois at Urbana-Champaign. College of Commerce and Business Administration
Series: BEBR faculty working paper -- no. 89-1591; BEBR faculty working paper -- no. 89-1591.
Publisher: College of Commerce and Business Administration, University of Illinois Urbana-Champaign
Published: 1989
Place of publication: [Urbana-Champaign]
Language: eng
Number of pages: 15
Notes: Includes bibliographical references (p. 15).