Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - Department of Econometrics and Business Statistics, … - 2010
The object of this paper is to produce distributional forecasts of physical volatility and its associated risk premia using a non-Gaussian, non-linear state space approach. Option and spot market information on the unobserved variance process is captured by using dual 'model-free' variance...