A four-factor Svensson state-space model with Wishart stochastic volatility gives the best in-sample fit and out-of-sample predictive performance for 24 crude-oil futures contracts among the specifications compared.
An overview of existing methods and recent advances in sequential Monte Carlo
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Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility
A four-factor Svensson state-space model with Wishart stochastic volatility gives the best in-sample fit and out-of-sample predictive performance for 24 crude-oil futures contracts among the specifications compared.