The information content of implied volatility in agricultural commodity markets
Year of publication: |
2003
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Authors: | Giot, Pierre |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 23.2002, 5, p. 441-454
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Subject: | Agrarmarkt | Agricultural market | Rohstoffmarkt | Commodity market | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Informationswert | Information value | Volatilität | Volatility | ARCH-Modell | ARCH model | USA | United States | Risikomaß | Risk measure | 1994-1995 |
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