I am currently busy with the valuations in the back-test. I think this will take quite a while.
I had some ideas of creating a proxy View full post
So this is actually a really cool addition. If the company specific IV-RV spread is wide it could essentially work with the Kalman filter, to trust the new View full post
The Kalman filter is something I had never heard of and will definitely take a deeper dive, but how I understand it after a google search, it seems very interesting.
Because we View full post
So concerning the smoothing vs filtering issue:
The residual calculation is not truly PIT, but I think that the assumption that the market priced i View full post