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Estimation of volatility of financial time series plays a crucial role in pricing derivatives. Volatility is often estimated from historical data; however, it is well known that volatility varies in time. We propose a method to choose a suitable length of historical data to estimate contemporary...
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literature on the topic. Economics is often being criticised by its opponents for the use of unrealistic assumptions. On the … contrary, my claim is that if economics has anything to contribute to legal analysis, it is above all exactly these assumptions … expressly what our world is not like, economics alerts the lawyer to imperfections and frictions that he or she all too often …
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