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Spurious long memory, uncommon breaks and the implied–realized volatility puzzle

Kellard, Neil M and Jiang, Ying and Wohar, Mark (2015) Spurious long memory, uncommon breaks and the implied–realized volatility puzzle. Journal of International Money and Finance, 56 (C). pp. 36-54. DOI https://doi.org/10.1016/j.jimonfin.2015.04.003



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