7 citations · 8 across the 2 of their papers we have counts for
2 papers
stat.AP2008★ 1 cited
Estimation of a diffusion model with trends taking in account the extremes. Application to temperature in France
Gregory Benmenzer, Didier Dacunha-Castelle, T. T. Huong Hoang
We built a model of the daily temperature based on a diffusion process and address to extreme values not taken into account in the literature on this kind of models. We first study…
q-fin.ST2007★ 7 cited
Arbitrage free cointegrated models in gas and oil future markets
Grégory Benmenzer, Emmanuel Gobet, Céline Jérusalem
In this article we present a continuous time model for natural gas and crude oil future prices. Its main feature is the possibility to link both energies in the long term and in th…