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Testing the stability of implied probability density functions

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Author Info
Bliss, Robert R.
Panigirtzoglou, Nikolaos
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 26 (2002)
Issue (Month): 2-3 (March)
Pages: 381-422
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Handle: RePEc:eee:jbfina:v:26:y:2002:i:2-3:p:381-422

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  2. Martin Scheicher & Ernst Glatzer, 2003. "Modelling the implied probability of stock market movements," Working Paper Series 212, European Central Bank. [Downloadable!]
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  7. Sami Vähämaa, 2004. "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Working Paper Series 315, European Central Bank. [Downloadable!]
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  8. Thomas Busch, 2008. "Testing the martingale restriction for option implied densities," Review of Derivatives Research, Springer, vol. 11(1), pages 61-81, March. [Downloadable!] (restricted)
  9. Tsiaras, Leonidas, 2009. "The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks," Finance Research Group Working Papers F-2009-02, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
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