Long memory and the relation between implied and realized volatility
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- Federico M. Bandi & Benoit Perron, 2006. "Long Memory and the Relation Between Implied and Realized Volatility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(4), pages 636-670.
References listed on IDEAS
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More about this item
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-05-29 (All new papers)
- NEP-CFN-2003-05-29 (Corporate Finance)
- NEP-RMG-2003-05-29 (Risk Management)
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