LUONG, CHUONG; DOKUCHAEV, NIKOLAI - In: Annals of Financial Economics (AFE) 09 (2014) 03, pp. 1450006-1
The paper studies methods of dynamic estimation of volatility for financial time series. We suggest to estimate the volatility as the implied volatility inferred from some artificial "dynamically purified" price process that in theory allows to eliminate the impact of the stock price movements....