Delphine LAUTIER and Alain GALLI Delphine LAUTIER(*) is ...
Delphine LAUTIER and Alain GALLI Delphine LAUTIER(*) is ...
Delphine LAUTIER and Alain GALLI Delphine LAUTIER(*) is ...
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($/b)<br />
35,00<br />
30,00<br />
25,00<br />
20,00<br />
15,00<br />
10,00<br />
18/05/98<br />
18/07/98<br />
18/09/98<br />
Figure 3. One-month’s futures prices observed <strong>and</strong> estimated, 1998 - 2001<br />
18/11/98<br />
18/01/99<br />
18/03/99<br />
18/05/99<br />
18/07/99<br />
18/09/99<br />
18/11/99<br />
22<br />
18/01/00<br />
Observed futures prices for a one month's maturity<br />
Estimated futures prices for a one month's maturity with a matrix H corresponding to the observations.<br />
Estimated futures prices for a one month maturity <strong>and</strong> an artificially lowered matrix (Simulation 4)<br />
18/03/00<br />
18/05/00<br />
18/07/00<br />
18/09/00<br />
18/11/00<br />
18/01/01<br />
18/03/01<br />
18/05/01<br />
18/07/01<br />
18/09/01
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