In this article we propose a nonlinear state space representation to model At-The-Money (ATM) implied volatilities and to estimate the unobserved Stochastic Volatility (SVOL) for the underlying asset. We derive a polynomial measurement model relating fractionally cointegrated implied and spot...

In this paper a comparative study is conducted to evaluate the out-of-sample performance of mean-variance portfolios when three different variance models are considered. We use the common framework of orthogonal factors to specify the conditional covariance matrix structure. A key advantage of...

In this paper a comparative study is conducted to evaluate the out-of-sample performance of mean-variance portfolios when three different variance models are considered. We use the common framework of orthogonal factors to specify the conditional covariance matrix structure. A key advantage of...