Web Appendix

Filtering without recursion and some of its uses in financial economics

Simon Donker van Heel and Neil Shephard

Results for 54 stocks and the ETF SPY over the 12 trading days 1 to 16 October 2024.

The appendix
Complete appendix (PDF, 46 MB) Version 1, 2 September 2026

By asset

Ordered by ticker. The combined document orders them by trading rate.

The spot volatility paths in this version are computed without the finite-sample correction ct,s. A corrected version will replace these files at this address.
Citing this appendix

Stable address: simondonkervanheel.com/filtering-web-appendix/