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Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options. (2013). Lin, Bing-Huei ; Huang, Teng-Ching ; Chuang, Wen-I, .
In: The North American Journal of Economics and Finance.
RePEc:eee:ecofin:v:25:y:2013:i:c:p:168-187.

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Cited: 17

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Cites: 86

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    In: Chaos, Solitons & Fractals.
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  2. A risk measure of the stock market that is based on multifractality. (2022). Chen, Liqing ; Zhang, Zilu ; Sun, QI ; Wang, YI.
    In: Physica A: Statistical Mechanics and its Applications.
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  3. Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors. (2022). Raju, Raghavender G ; Guptha, Siva Kiran ; Poojari, Akash P.
    In: Theoretical and Applied Economics.
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  4. The pricing mechanism between ETF option and spot markets in China. (2021). Ying, Zhiliang ; Tao, Pingping ; Liu, Qingfu ; Dong, DA.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1286-1300.

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  5. Carbon option price forecasting based on modified fractional Brownian motion optimized by GARCH model in carbon emission trading. (2021). Liu, Zhibin ; Huang, Shan.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820301959.

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  6. Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach. (2020). Perote, Javier ; Mora-Valencia, Andrés ; Cortes, Lina M.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818301980.

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  7. Price delay and post-earnings announcement drift anomalies: The role of option-implied betas. (2020). Tsai, Wei-Che ; Ho, Hwai-Chung.
    In: The North American Journal of Economics and Finance.
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  8. Intraday realised volatility forecasting and announcements. (2018). Vortelinos, Dimitrios I.
    In: International Journal of Banking, Accounting and Finance.
    RePEc:ids:injbaf:v:9:y:2018:i:1:p:88-118.

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  9. Multifractal characteristics and return predictability in the Chinese stock markets. (2018). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Shan, Zheng ; Gao, Xing-Lu ; Fu, Xin-Lan.
    In: Papers.
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  10. Fluke of stochastic volatility versus GARCH inevitability or which model creates better forecasts?. (2016). Lakshina, Valeriya V ; Silaev, Andrey M.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-16-00637.

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  11. An analysis of implied volatility jump dynamics: Novel functional data representation in crude oil markets. (2015). Kearney, Fearghal ; Cummins, Mark ; Murphy, Finbarr.
    In: The North American Journal of Economics and Finance.
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  12. Option pricing under truncated Gram–Charlier expansion. (2015). Huang, Hung-Hsi ; Lin, Shin-Hung .
    In: The North American Journal of Economics and Finance.
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  13. The Fluke Of Stochastic Volatility Versus Garch Inevitability : Which Model Creates Better Forecasts?. (2014). Lakshina, Valeria V..
    In: HSE Working papers.
    RePEc:hig:wpaper:37/fe/2014.

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  14. Financial market volatility and contagion effect: A copula–multifractal volatility approach. (2014). Liu, Maojuan ; Wei, YU ; Lin, YU ; Chen, Wang ; Lang, Qiaoqi .
    In: Physica A: Statistical Mechanics and its Applications.
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  15. Empirical analysis of long memory, leverage, and distribution effects for stock market risk estimates. (2014). Su, Jung-Bin.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:30:y:2014:i:c:p:1-39.

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  16. Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options. (2014). Liu, Qiang ; Guo, Shuxin .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:28:y:2014:i:c:p:77-89.

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  17. Risk management and financial derivatives: An overview. (2013). McAleer, Michael ; Hammoudeh, Shawkat.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:25:y:2013:i:c:p:109-115.

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    In: The Pakistan Development Review.
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    RePEc:eee:finana:v:7:y:1998:i:3:p:207-220.

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