Cleaning Implied Volatility data
Posted: July 6th, 2010, 5:04 am
Hi everyone,I am having real big issues with Implied Volatility data for Commodity contracts. It is not readily available even in bloomberg and secondly even the data available is not clean enough. Can anyone advice me methodologies for proxying appropriate time series in such cases or some statistical method to take care of the same. Information on books to refer would also be helpful.Thanks,SM