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

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Table 6. The performances with a 3 months’ extrapolation, 1998 Simple filter Extended filter Maturity MPE RMSE MPE RMSE 1 month 2.0138 2.2012 1.7392 1.8834 3 months 1.3296 1.3749 1.2448 1.3084 6 months 0.6512 0.755 0.7563 0.8691 9 months 0.2710 0.5442 0.4883 0.6540 Average 1.0664 1.2188 1.0572 1.1787 Unit: USD/b. 28
Table 7. The performances with a 3 months’ extrapolation, 2001-2002 Simple filter Extended filter Maturity MPE RMSE MPE RMSE 1 month -0.710678 3.371702 -3.243584 3.837790 3 months -0.379108 2.972144 -2.920091 3.408698 6 months 0.155104 2.500216 -2.247877 2.649836 9 months 0.385290 2.164323 -1.767425 2.123121 Average -0.137348 2.750296 -2.544744 3.004861 Unit: USD/b. 29
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 and 26: Table 3. The model’s performances
Page 27: Table 5. The simple filter with and
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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