//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~institution:"Université Paris-Dauphine (Paris IX)"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"filter"
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
Kalman filter
5
Term structure
4
Commodity prices
3
Kalman Filter
3
Crude oil
2
Futures prices
2
Term Structure
2
Bayesian estimation
1
Commodity Future Prices
1
Commodity Prices
1
Convention Theory
1
Crude oil prices
1
EM algorithm
1
Exchange Rate Dynamics
1
Extended Kalman filter
1
Gauss quadrature
1
Genetic Algorithm
1
Gibbs Sampling
1
Hermite expansion
1
Imperfect Knowledge Economics
1
Monte Carlo Filtering
1
Non observable data
1
Particle Filter
1
Pharmacodynamic
1
Pharmacokinetic
1
Samuelson effect
1
Segmentation
1
Simple Kalman filter
1
State-space models
1
Stochastic Volatility Models
1
Stochastic differential equations
1
Stock Prices
1
commodity
1
crude oil
1
futures prices
1
hedging
1
maximum likelihood estimation
1
normal backwardation theory
1
population approach
1
real options
1
more ...
less ...
Online availability
All
Free
7
Type of publication
All
Book / Working Paper
10
Language
All
Undetermined
10
Author
All
Lautier, Delphine
7
Galli, Alain
4
Casarin, Roberto
1
Di Filippo, Gabriele
1
Donnet, Sophie
1
Javaheri, Alireza
1
Samson, Adeline
1
more ...
less ...
Institution
All
Université Paris-Dauphine (Paris IX)
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
73
C.E.P.R. Discussion Papers
28
Tinbergen Instituut
26
EconWPA
22
Society for Computational Economics - SCE
20
National Bureau of Economic Research
18
Tinbergen Institute
18
Department of Economics, Oxford University
14
European Central Bank
14
Econometric Society
13
HAL
11
School of Economics and Management, University of Aarhus
11
CESifo
9
Department of Econometrics and Business Statistics, Monash Business School
9
Banca d'Italia
8
Deutsche Bundesbank
8
Economics Group, Nuffield College, University of Oxford
8
Banque de France
7
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
7
Centro de Estudios Monetarios y Financieros (CEMFI)
6
Departamento de Estadistica, Universidad Carlos III de Madrid
6
Magyar Nemzeti Bank (MNB)
6
Tilburg University, Center for Economic Research
6
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
5
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
5
Faculty of Economics, University of Cambridge
5
Institut für Weltwirtschaft (IfW)
5
Institutt for foretaksøkonomi, Norges Handelshøyskole (NHH)
5
Latvijas Banka
5
Rimini Centre for Economic Analysis (RCEA)
5
School of Economics and Political Science, Universität St. Gallen
5
Türkiye Cumhuriyet Merkez Bankası
5
University of Strathclyde / Department of Economics
5
de Nederlandsche Bank
5
Center for Financial Studies
4
Départment des sciences administratives, Université du Québec en Outaouais (UQO)
4
Economics Department, University of Missouri
4
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
4
Faculteit Economie en Bedrijfskunde, Universiteit Gent
4
more ...
less ...
Published in...
All
Economics Papers from University Paris Dauphine
10
Source
All
RePEc
10
Showing
1
-
10
of
10
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
A review on estimation of stochastic differential equations for pharmacokinetic/pharmacodynamic models
Donnet, Sophie
;
Samson, Adeline
-
Université Paris-Dauphine (Paris IX)
-
2013
This paper is a survey of existing estimation methods for pharmacokinetic/pharmacodynamic (PK/PD) models based on stochastic differential equations (SDEs). Most parametric estimation methods proposed for SDEs require high frequency data and are often poorly suited for PK/PD data which are...
Persistent link: https://www.econbiz.de/10010708218
Saved in:
2
Conventions in the foreign exchange market : Can they really explain exchange rate dynamics ?
Di Filippo, Gabriele
-
Université Paris-Dauphine (Paris IX)
-
2011
The present article provides an unorthodox model exchange rate dynamics based on conventions that prevail among market participants. We build a theoretical model that highlights the mechanisms underlying the formation of market conventions. We then test this model empirically on the euro/dollar...
Persistent link: https://www.econbiz.de/10010708263
Saved in:
3
The Kalman
filter
in finance: An application to term structure models of commodity prices and a comparison between the simple and the extended filters
Lautier, Delphine
-
Université Paris-Dauphine (Paris IX)
-
2002
A Kalman
filter
can be used for the estimation of a model’s parameters, when the model relies on non observable data … of commodity prices, and with the market portfolio in the capital asset pricing model. The Kalman
filter
is also an …, when associated with an optimization procedure, the
filter
provides a mean to obtain the model’s parameters. In a first …
Persistent link: https://www.econbiz.de/10010708783
Saved in:
4
Term Structure Models of Commodity Prices: A Review
Lautier, Delphine
-
Université Paris-Dauphine (Paris IX)
-
2005
This review article describes the main contributions in the literature on term structure models of commodity prices. The first section is devoted to the theoretical analysis of the term structure. It confines itself primarily to the traditional theories of commodity prices and to their...
Persistent link: https://www.econbiz.de/10011166285
Saved in:
5
Simple and extended Kalman filters : an application to term structures of commodity prices
Galli, Alain
;
Lautier, Delphine
-
Université Paris-Dauphine (Paris IX)
-
2004
presence of a large information volume. The first
filter
presented, which corresponds to the simplest version of a Kalman …
filter
, can be used solely in the case of linear models. The second
filter
- the extended one - is a generalization of the …
Persistent link: https://www.econbiz.de/10010905031
Saved in:
6
Bayesian Monte Carlo Filtering for Stochastic Volatility Models
Casarin, Roberto
-
Université Paris-Dauphine (Paris IX)
-
2004
Modelling of the fi nancial variable evolution represents an important issue in financial econometrics. Stochastic dynamic models allow to describe more accurately many features of the financial variables, but often there exists a trade-off between the modelling accuracy and the complexity....
Persistent link: https://www.econbiz.de/10010707256
Saved in:
7
Filtering in Finance
Lautier, Delphine
;
Javaheri, Alireza
;
Galli, Alain
-
Université Paris-Dauphine (Paris IX)
-
2003
-known Kalman
Filter
. Because of common nonlinearities, we will be discussing the Extended Kalman
Filter
. …
Persistent link: https://www.econbiz.de/10011166352
Saved in:
8
Simple and extended Kalman filters : an application to term structure of commodity prices
Galli, Alain
;
Lautier, Delphine
-
Université Paris-Dauphine (Paris IX)
-
2004
Persistent link: https://www.econbiz.de/10010707879
Saved in:
9
Simple and extended Kalman filters : an application to term structure of commodity prices
Galli, Alain
;
Lautier, Delphine
-
Université Paris-Dauphine (Paris IX)
-
2003
Persistent link: https://www.econbiz.de/10010707155
Saved in:
10
The informational value of crude oil futures prices
Lautier, Delphine
-
Université Paris-Dauphine (Paris IX)
-
2003
In order to enhance the understanding of the term structure of commodity prices, this article examines the temporal integration of the American crude oil futures market. The study relies on a database including futures prices for very long maturities (as far as seven years) and compares their...
Persistent link: https://www.econbiz.de/10010707829
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->