Publications
Karim Moussa, Francisco Blasques, Siem Jan Koopman (2025). Extremum Monte Carlo Filters: Signal Extraction via Simulation and Regression. Journal of Business and Economic Statistics. (Accepted)
Karim Moussa (2025). Arbitrage Filtering of Option Prices: A Simple Real-Time Approach. Quantitative Finance. (Accepted)
Karim Moussa, Siem Jan Koopman (2025). Data Assimilation with Extremum Monte Carlo Methods. Quarterly Journal of the Royal Meteorological Society. (Accepted)
Francisco Blasques, Siem Jan Koopman, Karim Moussa (2024). Asymmetric Stable Stochastic Volatility Models: Estimation, Filtering, and Forecasting. Journal of Time Series Analysis.
Working papers
Marina Friedrich, Karim Moussa, Yuliya Shapovalova, David van der Straten (2025). Forecasting Atmospheric Ethane: Application to the Jungfraujoch Measurement Station.
Karim Moussa (2025). On the Correlations in Linearized Multivariate Stochastic Volatility Models.
Karim Moussa, Simon Godsill (2025). Real-Time Smoothing by Extremum Monte Carlo Methods.
Karim Moussa (2025). Simulation Smoothing for State Space Models: An Extremum Monte Carlo Approach.
PhD thesis
Signal Extraction by the Extremum Monte Carlo Method
My thesis, defended on April 8, 2024, introduces the extremum Monte Carlo method as a novel approach to signal extraction for state space models.Â