The dynamics of the volatility skew : a Kalman filter approach
Year of publication: |
2009
|
---|---|
Authors: | Bedendo, Mascia ; Hodges, Stewart D. |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 33.2009, 6, p. 1156-1165
|
Subject: | Volatilität | Volatility | Zustandsraummodell | State space model | Risikomaß | Risk measure | Theorie | Theory |
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