1. How to select oil price prediction models — The effect of statistical and financial performance metrics and sentiment scores. (2024). Budin, Constantin ; Haas, Christian ; Darcy, Anne.
   In: Energy Economics.
   RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324001749.

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2. Estimation of a term structure model of carbon prices through state space methods: The European Union emissions trading scheme. (2021). Vanstone, Bruce ; Gepp, Adrian ; Aspinall, Thomas ; Kelly, Simone ; Harris, Geoff ; Southam, Colette.
   In: Accounting and Finance.
   RePEc:bla:acctfi:v:61:y:2021:i:2:p:3797-3819.

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3. Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets. (2019). Benhamou, Eric.
   In: Working Papers.
   RePEc:hal:wpaper:hal-02012471.

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4. Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets. (2018). Benhamou, Eric.
   In: Papers.
   RePEc:arx:papers:1811.11618.

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5. Trading on mean-reversion in energy futures markets. (2015). Lubnau, Thorben ; Todorova, Neda.
   In: Energy Economics.
   RePEc:eee:eneeco:v:51:y:2015:i:c:p:312-319.

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6. Electricity futures price models: Calibration and forecasting. (2015). Islyaev, Suren ; Date, Paresh.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:247:y:2015:i:1:p:144-154.

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7. Spread trading strategies in the crude oil futures market. (2014). Lubnau, Thorben .
   In: Discussion Papers.
   RePEc:zbw:euvwdp:353.

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1. On statistical arbitrage under a conditional factor model of equity returns. (2023). Spears, Trent ; Roberts, Stephen ; Zohren, Stefan.
   In: Papers.
   RePEc:arx:papers:2309.02205.

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2. Recurrent Dictionary Learning for State-Space Models with an Application in Stock Forecasting. (2021). Majumdar, Angshul ; Elvira, Victor ; Sharma, Shalini ; Chouzenoux, Emilie.
   In: Post-Print.
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3. Adaptive calibration of Heston Model using PCRLB based switching Filter. (2021). Yashaswi, Kumar.
   In: Papers.
   RePEc:arx:papers:2112.04576.

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4. Posterior Cramer-Rao Lower Bound based Adaptive State Estimation for Option Price Forecasting. (2021). Yashaswi, Kumar.
   In: Papers.
   RePEc:arx:papers:2112.03193.

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5. On parameter estimation of Heston’s stochastic volatility model: a polynomial filtering method. (2019). Papi, M ; Cacace, F ; Germani, A.
   In: Decisions in Economics and Finance.
   RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00251-0.

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6. Recent movement of oil prices and future scenarios [Movimentos recentes dos preços do petróleo e os cenários futuros]. (2019). Aiube, Fernando Antonio ; Lucena, Fernando Antonio ; Levy, Ariel.
   In: Nova Economia.
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7. Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets. (2019). Benhamou, Eric.
   In: Working Papers.
   RePEc:hal:wpaper:hal-02012471.

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8. Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets. (2018). Benhamou, Eric.
   In: Papers.
   RePEc:arx:papers:1811.11618.

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9. Algorithmic Trading with Fitted Q Iteration and Heston Model. (2018). Le, Son.
   In: Papers.
   RePEc:arx:papers:1805.07478.

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10. Time-varying forecasts by variational approximation of sequential Bayesian inference. (2016). Ling, Hui Fox ; Stone, Douglas B.
    In: Quantitative Finance.
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11. Thinly traded securities and risk management. (2014). Bernales, Alejandro ; Beuermann, Diether ; Cortazar, Gonzalo.
    In: Estudios de Economia.
    RePEc:udc:esteco:v:41:y:2014:i:1:p:5-48.

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12. Nonlinear Kalman Filtering in Affine Term Structure Models. (2014). Christoffersen, Peter ; Karoui, Lotfi ; Jacobs, Kris ; Dorion, Christian.
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:1404.

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13. The impact of quantitative easing on the US term structure of interest rates. (2014). Jarrow, Robert ; Li, Hao.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:17:y:2014:i:3:p:287-321.

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14. Does modeling framework matter? A comparative study of structural and reduced-form models. (2014). Gündüz, Yalin ; Gunduz, Yalin ; Uhrig-Homburg, Marliese.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:17:y:2014:i:1:p:39-78.

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15. Consistent dynamic affine mortality models for longevity risk applications. (2013). Sherris, Michael ; Blackburn, Craig .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:53:y:2013:i:1:p:64-73.

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16. Affine Term Structure Constraints on Euribor data. (2011). Tarditi, Giulio.
    In: Department of Economics University of Siena.
    RePEc:usi:wpaper:613.

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17. Real and nominal UK interest rates, ERM membership, and inflation targeting. (2011). Reschreiter, Andreas.
    In: Empirical Economics.
    RePEc:spr:empeco:v:40:y:2011:i:3:p:559-579.

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18. American options and callable bonds under stochastic interest rates and endogenous bankruptcy. (2011). Nunes, Joo.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:14:y:2011:i:3:p:283-332.

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19. A mixed integer linear programming model for optimal sovereign debt issuance. (2011). Canepa, Alessandra ; Date, P. ; Abdel-Jawad, M..
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:214:y:2011:i:3:p:749-758.

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20. Consistent Dynamic Affine Mortality Model for Longevity Risk Applications. (2011). Sherris, Michael ; Blackburn, Craig .
    In: Working Papers.
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21. Dynamic hedging strategies: an application to the crude oil market. (2010). Lautier, Delphine ; Galli, Alain.
    In: Post-Print.
    RePEc:hal:journl:halshs-00640802.

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22. Estimating affine multifactor term structure models using closed-form likelihood expansions. (2010). Ait-Sahalia, Yacine ; Kimmel, Robert L..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:98:y:2010:i:1:p:113-144.

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23. Modelling the UK and Euro yield curves using the Generalized Vasicek model: Empirical results from panel data for one and two factor models. (2010). ben Nowman, Khalid .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:19:y:2010:i:5:p:334-341.

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24. Pricing the term structure of inflation risk premia: Theory and evidence from TIPS. (2010). Cheng, Xiaolin ; Liu, BO.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:4:p:702-721.

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25. Dynamic Hedging Strategies: An Application to the Crude Oil Market. (2010). Lautier, Delphine ; Galli, Alain.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/5470.

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26. Pricing caps with HJM models: the benefits of humped volatility. (2009). Falini, Jury .
    In: Department of Economics University of Siena.
    RePEc:usi:wpaper:563.

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27. Extended Black term structure models. (2009). Realdon, Marco.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:18:y:2009:i:5:p:232-238.

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28. Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting. (2009). Date, Paresh ; Wang, Chieh.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:195:y:2009:i:1:p:156-166.

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29. Valuing Future Information Under Uncertainty Using Polynomial Chaos. (2008). Bailey, William J ; Prange, Michael ; Armstrong, Margaret ; Djikpesse, Hugues ; Wilkinson, David ; Couet, Benoit ; Galli, Alain.
    In: Decision Analysis.
    RePEc:inm:ordeca:v:5:y:2008:i:3:p:140-156.

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30. Following the rules: Integrating asset allocation and annuitization in retirement portfolios. (2008). Mitchell, Olivia ; Dus, Ivica ; Horneff, Wolfram J. ; Maurer, Raimond H..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:42:y:2008:i:1:p:396-408.

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31. The role of longevity bonds in optimal portfolios. (2008). Menoncin, Francesco.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:42:y:2008:i:1:p:343-358.

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32. Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions. (2008). Ait-Sahalia, Yacine ; Kimmel, Robert L..
    In: Working Paper Series.
    RePEc:ecl:ohidic:2008-19.

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33. A Joint Characterization of German Monetary Policy and the Dynamics of the German Term Structure of Interest Rates. (2008). Fendel, Ralf.
    In: Review of Applied Economics.
    RePEc:ags:reapec:50005.

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34. Extended-Gaussian Term Structure Models and Credit Risk Applications. (2007). Realdon, Marco.
    In: Discussion Papers.
    RePEc:yor:yorken:07/27.

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35. A Benchmark Approach to Portfolio Optimization under Partial Information. (2007). Platen, Eckhard ; Runggaldier, Wolfgang.
    In: Research Paper Series.
    RePEc:uts:rpaper:191.

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36. An empirical study of corporate bond pricing with unobserved capital structure dynamics.. (2007). Maclachlan, Iain C.
    In: MPRA Paper.
    RePEc:pra:mprapa:28416.

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37. A Benchmark Approach to Portfolio Optimization under Partial Information. (2007). Platen, Eckhard.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:14:y:2007:i:1:p:25-43.

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38. Term-structure estimation in markets with infrequent trading. (2007). Naranjo, Lorenzo F. ; Cortazar, Gonzalo ; Schwartz, Eduardo S..
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:12:y:2007:i:4:p:353-369.

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39. Parameter estimation in commodity markets: A filtering approach. (2007). ELLIOTT, ROBERT J. ; Hyndman, Cody. B., .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:7:p:2350-2373.

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40. An interpretation of an affine term structure model of Chile. (2006). Ochoa, Juan.
    In: Estudios de Economia.
    RePEc:udc:esteco:v:33:y:2006:i:2:p:155-184.

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41. An Interpretation of An Affine Term Structure Model for Chile. (2006). Ochoa, Juan.
    In: MPRA Paper.
    RePEc:pra:mprapa:1072.

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42. Optimizing the Retirement Portfolio: Asset Allocation, Annuitization, and Risk Aversion. (2006). Mitchell, Olivia ; Dus, Ivica ; Horneff, Wolfram J. ; Maurer, Raimond.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12392.

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43. Optimizing the Retirement Portfolio: Asset Allocation, Annuitization, and Risk Aversion. (2006). Mitchell, Olivia ; Dus, Ivica ; Horneff, Wolfram J. ; Maurer, Raimond.
    In: Working Papers.
    RePEc:mrr:papers:wp124.

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44. Nonlinear term structure dependence: Copula functions, empirics, and risk implications. (2006). Wagner, Niklas ; Junker, Markus ; Szimayer, Alex .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:4:p:1171-1199.

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45. Interpreting an Affine Term Structure Model for Chile. (2006). Ochoa, Juan.
    In: Working Papers Central Bank of Chile.
    RePEc:chb:bcchwp:380.

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46. A filtered no arbitrage model for term structures from noisy data. (2005). Runggaldier, Wolfgang J. ; Jaschke, Stefan R. ; Gombani, Andrea.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:115:y:2005:i:3:p:381-400.

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47. Cyclical risk exposure of pension funds: A theoretical framework. (2005). Menoncin, Francesco.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:36:y:2005:i:3:p:469-484.

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48. Testing affine term structure models in case of transaction costs. (2005). Nijman, Theo ; Melenberg, Bertrand ; Driessen, Joost.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:126:y:2005:i:1:p:201-232.

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49. Simulation-based Bayesian estimation of an affine term structure model. (2005). Martin, Gael ; Sanford, Andrew D..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:49:y:2005:i:2:p:527-554.

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50. Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates. (2004). Fendel, Ralf.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:2290.

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51. Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications. (2004). Wagner, Niklas ; Junker, Markus ; Szimayer, Alexander.
    In: Econometrics.
    RePEc:wpa:wuwpem:0401007.

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52. Simple and extended Kalman filters: an application to term structures of commodity prices. (2004). Lautier, Delphine ; Galli, Alain.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:13:p:963-973.

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53. Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure. (2004). de Rossi, Giuliano.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:11:y:2004:i:2:p:277-308.

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54. Simple and extended Kalman filters : an application to term structures of commodity prices. (2004). Lautier, Delphine ; Galli, Alain.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/876.

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55. Interest rates as options: assessing the markets view of the liquidity trap. (2003). Bomfim, Antulio.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-45.

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56. Monetary policy and the yield curve. (2003). Bomfim, Antulio.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-15.

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57. Counterparty credit risk in interest rate swaps during times of market stress. (2003). Bomfim, Antulio.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-09.

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58. Mortality Risk and Real Optimal Asset Allocation for Pension Funds. (2003). Scaillet, Olivier ; Menoncin, Francesco.
    In: FAME Research Paper Series.
    RePEc:fam:rpseri:rp101.

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59. Direct estimation of the risk neutral factor dynamics of Gaussian term structure models. (2003). Bams, Dennis ; Schotman, Peter C..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:117:y:2003:i:1:p:179-206.

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60. The informational value of crude oil futures prices. (2003). Lautier, Delphine.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/1245.

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61. Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data. (2003). Naranjo, Lorezo ; Cortazar, Gonzalo ; Schwartz, Eduardo S..
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt56h775cz.

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62. Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing. (2003). Brennan, Michael ; Xia, Yihong ; Wang, Ashley W.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt20r0j5t8.

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63. The Kalman filter in finance: An application to term structure models of commodity prices and a comparison between the simple and the extended filters. (2002). Lautier, Delphine.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/9193.

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64. Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate. (2001). Yu, Jun ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1309.

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65. Testing Affine Term Structure Models in Case of Transaction Costs. (2000). Nijman, Theo ; Melenberg, Bertrand ; Driessen, Joost.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0553.

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