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We entertain the possibility of pervasive factors that are not common across two (or more) groups of securities. We propose a general procedure to estimate the space spanned by the common pervasive and group-specific pervasive factors. In our empirical analysis, we study the factor structure of...
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In this paper, recent techniques of estimating implied information from derivatives markets are presented and applied empirically to the French derivatives market. We determine nonparametric implied volatility functions, state-price densities and historical densities from a high-frequency stock...
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