Using interpolated implied volatility for analysing exogenous market changes
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Publication:6538807
DOI10.1007/S10287-024-00505-2MaRDI QIDQ6538807
Sebastiano Vitali, Matúš Maciak
Publication date: 14 May 2024
Published in: Computational Management Science (Search for Journal in Brave)
panel dataimplied volatilitychangepoint detectionartificial optionsconstant time to maturityexogenous effects
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