Supplement to "Parametric Inference and Dynamic State Recovery from Option Panels"

This supplementary appendix presents an additional Monte Carlo exercise and additional diagnostics for the empirical application in the paper as well as estimation results for alternative stochastic volatility model specifications.  It also provides further details regarding the computations in the empirical part and the Monte Carlo study.

Supplemental Authors: 
Anderson, Torben G. - Kellogg School of Management at Northwestern University
Fusari, Nicola - Northwestern University
Todorov, Viktor - Kellogg School of Management