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  • Search: subject:"Tail correction"
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Dynamics 1 Expectations 1 High frequency data 1 Implied volatility 1 Index derivative 1 Indexderivat 1 Method of moments 1 Model-free moments 1 Momentenmethode 1 Risiko 1 Risk 1 Risk-neutral distribution 1 Risk-neutral moments 1 Statistical distribution 1 Statistische Verteilung 1 Tail correction 1 Tail estimation 1 Time series analysis 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1
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Free 1
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Book / Working Paper 1
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Collection of articles of several authors 1 Hochschulschrift 1 Sammelwerk 1 Thesis 1
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English 1
Author
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Ivanovas, Anselm 1
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ECONIS (ZBW) 1
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Option data, missing tails, and the intraday variation of implied moments
Ivanovas, Anselm - 2015
Die risikoneutrale Verteilung von Renditen, wie sie von S&P 500 Optionen impliziert wird, ist ein seit Jahren beliebtes Forschungsthema in den Finanzwissenschaften. Durch ihre vorausschauende Eigenschaft liefert diese Verteilung und im Speziellen ihre Momente, wertvolle Einsichten in die...
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