Analysis of market volatility via a dynamically purified option price process

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Analysis of market volatility via a dynamically purified option price process

The paper studies methods of dynamic estimation of volatility for financial time series. We suggest to estimate the volatility as the implied volatility inferred from some artificial ‘dynamically purified' price process that in theory allows to eliminate the impact of the stock price movements....

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Bibliographic Details
Main Authors:	Luong, C., Dokuchaev, Nikolai
Format:	Journal Article
Published:	World Scientific 2014
Subjects:	implied volatility approximation of missing data volatility index purified option prices dynamic forecasting econometrics
Online Access:	http://hdl.handle.net/20.500.11937/10701

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