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market set-up that accounts for fundamental uncertainty. Nonetheless, the market is designed so that its total value is known …
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This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British pound’s implied volatilities (IVs) vis-à-vis the main...
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