The dynamics of the volatility skew: A Kalman filter approach

Journal of Banking and Finance

Volumn 33, Issue 6, 2009, Pages 1156-1165

  Bedendo, Mascia ^a   Hodges, Stewart D ^b  

^a BOCCONI UNIVERSITY   (Italy)

^b CITY UNIVERSITY   (United Kingdom)

Author keywords

Density forecasting; Implied volatility; Kalman filter; Value at Risk

Indexed keywords

EID: 62749086295     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2008.12.014     Document Type: Article

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