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

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Table 4. The model’s performances with the simple <strong>and</strong> the extended filters, 1998- 2001 Simple filter Extended filter Maturity MPE RMSE MPE RMSE 1 month -0.060423 2.319730 0.09793 2.294503 3 months -0.107783 1.989428 0.057327 2.120727 6 months -0.054536 1.715223 0.109584 1.877654 9 months -0.007316 1.567467 0.141204 1.695222 Average -0.057514 1.897962 0.101511 1.997027 Unit: USD/b. 26
Table 5. The simple filter with <strong>and</strong> without corrections for the logarithm, 1998-2001 Simple filter Simple filter corrected Maturity MPE RMSE MPE RMSE 1 month -0.060423 2.319730 0.065644 2.314178 3 months -0.107783 1.989428 0.006419 1.981453 6 months -0.054536 1.715223 0.026010 1.709931 9 months -0.007316 1.567467 0.061301 1.564854 Average -0.057514 1.897962 0.036637 1.892604 Unit: USD/b. 27
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 and 24: Table 1. Optimal parameters, 1995-1
Page 25: Table 3. The model’s performances
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

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