Wanted a reference request for any source has discussed how to clean/adjust historical volatility/ historical implied volatility time series for Earnings. The RV/IV time series data have a lot of outliers around earnings which can be detrimental to model data for normal regimes.
2
-
1$\begingroup$ Does this answer your question? Online sources for quantitative finance research $\endgroup$– AlperDec 21, 2022 at 0:57
-
$\begingroup$ Was looking for a specific advise. Cannot find it myself. $\endgroup$– volquantDec 21, 2022 at 11:17
Add a comment
|