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Implied Volatility Process: Evidence from the Volatility Derivatives Markets

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  • George Skiadopoulos
  • Dimitris Psychoyios

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  • George Skiadopoulos & Dimitris Psychoyios, 2006. "Implied Volatility Process: Evidence from the Volatility Derivatives Markets," Working Papers wpn06-17, Warwick Business School, Finance Group.
  • Handle: RePEc:wbs:wpaper:wpn06-17
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    File URL: http://web.warwick.ac.uk/fac/soc/financeRepec/Repec/2006/SkiadopoulosPsychoyios2006IVP.pdf
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    References listed on IDEAS

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    9. Bates, David S, 1996. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options," Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 69-107.
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