Implied Filtering Densities on the Hidden State of Stochastic Volatility

Keyphrases

• Bayesian Filtering 50%
• Conditional Density 50%
• Conditional Expectation 50%
• Cyclic Effect 50%
• Derivative Prices 50%
• Estimation Model 50%
• Hidden Markov Model 50%
• Hidden States 100%
• Inverse Problem 100%
• Martingale Change of Measure 50%
• Maturity Date 50%
• Month-of-the-year Effect 50%
• Multiplicative Components 50%
• Option Data 50%
• Option Expiration 50%
• Risk Premium 50%
• Separability 50%
• SPX Options 50%
• Stochastic Volatility 100%
• Uncertainty Premium 50%
• Variance Swap 50%
• Volatility 50%
• Volatility Index 50%
• Volatility Uncertainty 100%

Mathematics

• Bayesian 50%
• Conditional Expectation 50%
• Conditionals 50%
• Estimated Model 50%
• Hidden Markov Model 50%
• Hidden State 100%
• Maturity Date 50%
• Multiplicative 50%
• Stochastic Volatility 100%
• Variance 50%

Economics, Econometrics and Finance

• Hidden Markov Model 16%