The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX
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- Alexander Schnurr, 2015. "An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series," Papers 1502.07321, arXiv.org.
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KeywordsQuadratic variation options; VGSSD process; independent beta variates;
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