Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of Econometrics 171 (2012) 2, pp. 217-236
The object of this paper is to produce distributional forecasts of asset price volatility and its associated risk premia using a non-linear state space approach. Option and spot market information on the latent variance process is captured by using dual ‘model-free’ variance measures to...