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Three essays in empirical asset pricing
(2008-05-01)
Estimation of State Space Models and Stochastic Volatility
(2012-11-02)
Ma thèse est composée de trois chapitres reliés à l'estimation des modèles espace-état et volatilité stochastique.
Dans le première article, nous développons une procédure de lissage de l'état, avec efficacité ...
Three essays in macro-finance, international economics and macro-econometrics
(2017-09-27)
This thesis brings new evidence on different strands of the literature in macro-finance, international economics and macroeconometrics. The first two chapters combine both theoretical models and empirical techniques to ...
Essays on numerically efficient inference in nonlinear and non-Gaussian state space models, and commodity market analysis
(2013-11-07)
The first two articles build procedures to simulate vector of univariate states
and estimate parameters in nonlinear and non Gaussian state space models. We
propose state space speci fications that offer more flexibility ...