Delphine LAUTIER and Alain GALLI Delphine LAUTIER(*) is ...

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Table 2. Optimal parameters, 1998-2001 Simple filter Extended filter Parameters Gradients Parameters Gradients Drift : µ 0.379926 0.000497 0.352014 -0.001178 Speed of adjustment : κ 1.59171 -0.003631 1.258133 0.000628 Spot price volatility : σS 0.263525 -0.000448 0.320235 -0.000338 Long run mean : α 0.252260 -0.012867 0.232547 0.004723 Convenience yield volatility : σC 0.237071 -0.000602 0.288427 -0.001070 Correlation coefficient : ρ 0.938487 -0.001533 0.969985 0.000008 R<strong>is</strong>k premium : λ 0.177159 0.009272 0.181955 -0.002426 24
Table 3. The model’s performances with the simple <strong>and</strong> the extended filters, 1995- 1998 Simple filter Extended filter Maturity MPE RMSE MPE RMSE 1 month -0.063 1.2769 0.0775 1.3972 3 months 0.1064 1.1804 0.2145 1.3011 6 months 0.1453 1.0142 0.2235 1.0861 9 months 0.1419 0.8468 0.2029 0.8812 Average 0.0827 1.0796 0.1796 1.1664 Unit: USD/b. 25
Page 1 and 2: SIMPLE AND EXTENDED KALMAN FILTERS:
Page 3 and 4: There are different versions of Kal
Page 5 and 6: state variables have been proposed
Page 7 and 8: where : - r is the risk free intere
Page 9 and 10: In continuous time, the pricing equ
Page 11 and 12: empirical data are rebuilt. The rel
Page 13 and 14: The MPE is defined as follows: 1 MP
Page 15 and 16: with maturity, which is consistent
Page 17 and 18: Kalman filters are powerful tools s
Page 19 and 20: Lautier, D. (2000) La structure par
Page 21 and 22: ($/b) 7 6 5 4 3 2 1 0 -1 -2 -3 -4 -
Page 23: Table 1. Optimal parameters, 1995-1
Page 27 and 28: Table 5. The simple filter with and
Page 29 and 30: Table 7. The performances with a 3
Page 31 and 32: APPENDIX: THE SIMPLE AND THE EXTEND
Page 33 and 34: where t / t −1 y represents an N
Page 35: 1 A more precise presentation of th

Delphine LAUTIER and Alain GALLI Delphine LAUTIER(*) is ...

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