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Forward-Looking Betas. (2007). Christoffersen, Peter ; Jacobs, Kris ; Vainberg, Gregory .
In: CREATES Research Papers.
RePEc:aah:create:2007-39.

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  1. .

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  2. Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market. (2020). Gil-Alana, Luis ; Martin-Valmayor, Miguel ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_8171.

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  3. The Joint Cross Section of Stocks and Options. (2013). Ang, Andrew ; Cakici, Nusret ; Bali, Turan G..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19590.

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  4. Cross-sectional analysis of risk-neutral skewness. (2009). Yadav, Pradeep K. ; Zhang, Yuanyuan ; Taylor, Stephen J..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0911.

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  5. Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice. (2009). Frehen, Rik ; Bauer, R. M. M. J., ; Schotman, P. C. ; Cosemans, M. ; Frehen, R. G. P., .
    In: MPRA Paper.
    RePEc:pra:mprapa:23557.

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  54. Autorregresive conditional volatility, skewness and kurtosis. (2002). Leon, Angel ; Serna, Gregorio ; Rubio, Gonzalo.
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    RePEc:ehu:dfaeii:200206.

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  55. An empirical comparison of the performance of alternative option pricing models. (2002). Rubio, Gonzalo ; Gago, Monica .
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200204.

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  56. Smiling under stochastic volatility. (2002). Leon, Angel ; Rubio, Gonzalo.
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200202.

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  57. A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes. (2001). Lewis, Alan L..
    In: Related articles.
    RePEc:vsv:svpubs:explevy.

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  58. Effects of Stochastic Interest Rates and Volatility on Contingent Claims (Revised Version). (2001). Kunitomo, Naoto ; Kim, Yong-Jin .
    In: CIRJE F-Series.
    RePEc:tky:fseres:2001cf129.

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  59. An Empirical Investigation of Continuous-Time Equity Return Models. (2001). Benzoni, Luca ; Andersen, Torben ; Lund, Jesper .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8510.

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  60. Understanding the role of recovery in default risk models: empirical comparisons and implied recovery rates. (2001). Madan, Dilip ; Bakshi, Gurdip ; Zhang, Frank.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2001-37.

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  61. Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains. (2000). Chourdakis, Kyriakos.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp430.

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  62. Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains. (2000). Chourdakis, Kyriakos.
    In: Working Papers.
    RePEc:qmw:qmwecw:430.

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  63. Where Does State Street Lead? A First Look at Finance Patents, 1971-2000. (2000). Lerner, Josh.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7918.

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  64. SHORT-TERM OPTIONS WITH STOCHASTIC VOLATILITY: ESTIMATION AND EMPIRICAL PERFORMANCE. (2000). Fiorentini, Gabriele ; Rubio, Gonzalo ; Leon, ngel.
    In: Working Papers. Serie AD.
    RePEc:ivi:wpasad:2000-25.

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  65. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:99-08.

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  66. Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities. (1998). David, Alexander ; Veronesi, Pietro.
    In: CRSP working papers.
    RePEc:wop:chispw:485.

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  67. Discrete-Time Models of Bond Pricing. (1998). Telmer, Chris ; Backus, David ; Foresi, Silverio .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6736.

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  68. Short-term options with stochastic volatility: Estimation and empirical performance. (). Fiorentini, Gabriele ; Angel León, ; Rubio, Gonzalo.
    In: Studies on the Spanish Economy.
    RePEc:fda:fdaeee:02.

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