Publications
Francisco Blasques, Siem Jan Koopman, Karim Moussa (2024). Asymmetric Stable Stochastic Volatility Models: Estimation, Filtering, and Forecasting. Journal of Time Series Analysis.
Working papers
Karim Moussa (2025). Simulation Smoothing for State Space Models: An Extremum Monte Carlo Approach
Karim Moussa (2025). On the Correlations in Linearized Multivariate Stochastic Volatility Models
Marina Friedrich, Karim Moussa, Yuliya Shapovalova, David van der Straten (2025). Forecasting Atmospheric Ethane: Application to the Jungfraujoch Measurement Station
Karim Moussa (2024). Arbitrage Filtering of Option Prices: A Simple Real-Time Approach
Karim Moussa, Siem Jan Koopman (2024). Data Assimilation with Extremum Monte Carlo Methods.
Karim Moussa, Francisco Blasques, Siem Jan Koopman (2023). Extremum Monte Carlo Filters: Signal Extraction via Simulation and Regression
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.