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This paper presents a simple but quite general framework for analyzing the impact of informational externalities. By … identifying the traditional pecuniary effect of these externalities which nets out,the paper greatly simplifies the problem of …
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This paper presents a simple but quite general framework for analyzing the impact of informational externalities. By … identifying the traditional pecuniary effect of these externalities which nets out,the paper greatly simplifies the problem of …
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As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied volatility surface (IVS) in a dynamic context, employing...
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