Shall One Sit “Longer” for a Free Lunch? Impact of Trading Durations on the Realized Variances and Volatility Spillovers
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Publisher
Springer Science and Business Media LLC
Link
http://link.springer.com/content/pdf/10.1007/s40953-019-00169-9.pdf
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5. Becker, R., A.E. Clements, and S.I. White. 2007. Does implied volatility provide any information beyond that captured in model-based volatility forecasts? Journal of Banking & Finance 31 (8): 2535–2549.
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