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source:"econis"
~isPartOf:"Journal of econometrics"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~person:"Aït-Sahalia, Yacine"
~person:"Chang, Chia-Lin"
~person:"Pelger, Markus"
~person:"Xiu, Dacheng"
~subject:"12-Month variance futures"
~subject:"Option pricing theory"
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12-Month variance futures
Option pricing theory
Estimation
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Volatility
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Capital income
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3-Month variance futures
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Aït-Sahalia, Yacine
Chang, Chia-Lin
Pelger, Markus
Xiu, Dacheng
Todorov, Viktor
4
Tauchen, George Eugene
2
Wang, Bin
2
Zheng, Xu
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Andersen, Torben
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Baldovin, Fulvio
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Grynkiv, Iaryna
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Jimenez-Martin, Juan-Angel
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Luo, Junwen
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Journal of econometrics
The North American journal of economics and finance : a journal of financial economics studies
The journal of finance : the journal of the American Finance Association
1
Working paper / National Bureau of Economic Research, Inc.
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ECONIS (ZBW)
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The rise and fall of S&P500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
Saved in:
2
Do option markets correctly price the probabilities of movement of the underlying asset?
Aït-Sahalia, Yacine
;
Wang, Yubo
;
Yared, Francis
- In:
Journal of econometrics
102
(
2001
)
1
,
pp. 67-110
Persistent link: https://www.econbiz.de/10001575286
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