Hypothetical bias is a long-standing issue in stated preference and contingent valuation studies—people tend to overstate their preferences when they do not experience the real monetary consequences of their decision. This view, however, has been challenged by recent evidence based on the...

Commodity prices, especially oil prices, peaked in the aftermath of the financial crisis of 2007 and they have remained highly volatile. All things being equal, the increase in commodity prices may induce a similar tendency of inflation and hence become a monetary policy issue. However, the...

A Kalman filter can be used for the estimation of a model’s parameters, when the model relies on non observable data. In finance, this kind of problem arises for example with term structure models of interest rates, term structure models of commodity prices, and with the market portfolio in...

We look at the drastic cut of the administered cocoa producer price in 1990 Côte d'Ivoire and study to which extent cocoa producers' children su®ered from this severe aggregate shock in terms of school enrollment, labor, height stature and morbidity. Using pre-crisis (1985-88) and post- crisis...

In this article we present an introduction to various Filtering algorithms and some of their applications to the world of Quantitative Finance. We shall first mention the fundamental case of Gaussian noises where we obtain the well-known Kalman Filter. Because of common nonlinearities, we will...

What is the optimal number of uncorrelated strategies to include in a portfolio consisting of cross-asset strategies? Various criteria have been proposed for finding the optimal number of factors in a factor model, many of them in the framework of Principal Component Analysis. Using a refined...