Cuadernos del CIPE No.42 The Brennan and Schwartz (1985). Factor model calibration through the maximum log-likelihood method: examples with gold

Sinopsis del libro

The Brennan and SchwarLz (1985) Factor Model (from now on thw Brennan and SchwarLz (198,5) model )was the first model proposed for modelling the dynamic of the Standard Spot Price of a commodity (specifically of copper) over time [9]. It was proposed by the economist Michael Brennan (Figure 1). and the engineer…