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The dynamics of the volatility skew: A Kalman filter approach

✍ Scribed by Mascia Bedendo; Stewart D. Hodges

Book ID
116615324
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
504 KB
Volume
33
Category
Article
ISSN
0378-4266

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## Abstract The ensemble Kalman filter (EnKF) can be interpreted in the more general context of linear regression theory. The recursive filter equations are equivalent to the normal equations for a weighted least‐squares estimate that minimizes a quadratic functional. Solving the normal equations i