Craig, Ben R. (contributor); Keller, Joachim G. (contributor) - 2003 - [Elektronische Ressource]
first calculate the instantaneous volatility of the spot, ˆσ
t
(X,τ,
b
β), a function of
the state of the exchange rate … specifications are polynomial extensions to this which allow
for the standard volatility “smile” and “sneer” often observed in … Volatility Func-
tions: Empirical Tests,” Journal of Finance, 56, pp. 2059-2106.
Figlewski, S. and B. Gao [1999]: ”The Adaptive …