Research

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

1. Karim Moussa (2024). Simulation Smoothing: an Extremum Monte Carlo Approach  

2. Karim Moussa (2024). Arbitrage Filtering of Option Prices: A Simple Real-Time Approach

3. Karim Moussa, Siem Jan Koopman (2024). Data Assimilation with Extremum Monte Carlo Methods

4. Marina Friedrich, Karim Moussa, Yuliya Shapovalova, David van der Straten (2024). Forecasting the Atmospheric Ethane Burden Above the Jungfraujoch with Bayesian and Frequentist Methods

5. Francisco Blasques, Siem Jan Koopman, Karim Moussa (2023). Extremum Monte Carlo Filters: Real-Time Signal Extraction by 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 general state space models.