From the Samuelson Volatility Effect to a Samuelson Correlation Effect: Evidence from Crude Oil Calendar Spread Options
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References listed on IDEAS
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- Lorenz Schneider & Bertrand Tavin, 2015. "Seasonal Stochastic Volatility and Correlation together with the Samuelson Effect in Commodity Futures Markets," Papers 1506.05911, arXiv.org.
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