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imposes inconsistent assumptions on underlying securities. The phenomenon is referred to as the volatility smile. This paper … function we obtain a wide range of shapes of implied volatility curves with respect to option strikes. The model has closed …
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This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro...
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