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The relation between implied and realised volatility in the Danish option and equity markets

โœ Scribed by Charlotte Strunk Hansen

Book ID
108514118
Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
556 KB
Volume
41
Category
Article
ISSN
0810-5391

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## Abstract Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Earlier studies are based on historical realized volatility. Implied volatilities from option prices represent the market's assessment of future risk and

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