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Empirical Stochastic Volatility
Dear all, I am studying the empirical stochastic volatility model derived in "Uncertain Parameters, an Empirical Stochastic Volatility Model and Confidence Limits" by Oztukel and Wilmott (1996). I was wondering if anyone has an algorithm/code on the implementation of the volatility estimation process as outlined in the paper which they could kindly share. Thanks and regards,David