Predictable dynamics in the S&P 500 index options implied volatility surface
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- Sílvia Gonçalves & Massimo Guidolin, 2006. "Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1591-1636, May.
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More about this item
KeywordsAssets (Accounting) ; Prices;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-05-23 (All new papers)
- NEP-ETS-2005-05-23 (Econometric Time Series)
- NEP-FIN-2005-05-23 (Finance)
- NEP-RMG-2005-05-23 (Risk Management)
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