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Time-to-Expiry Seasonalities in Eurofutures. (2001). Gencay, Ramazan ; Dacorogna, Michel ; Piccinato, Barbara ; Genay, Ramazan ; Ballocchi, Giuseppe .
In: Studies in Nonlinear Dynamics & Econometrics.
RePEc:bpj:sndecm:v:4:y:2001:i:4:n:4.

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  1. Dynamics of realized volatilities and correlations: An empirical study. (2006). Ferland, Rene ; Lalancette, Simon .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:7:p:2109-2130.

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References

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    Paper not yet in RePEc: Add citation now
  3. Dacorogna, M. M., U. A. Muller, R. J. Nagler, R. B. Olsen, and O. V. Pictet (1993). “A geographical model for the daily and weekly seasonal volatility in the FX market.” Journal of International Money and Finance, 12: 413–438.
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  7. Taylor, S. J. (1988). Modelling Financial Time Series. Chichester: J. Wiley & Sons. Giuseppe Ballocchi et al. 231 Brought to you by | Jose Manuel Barrueco/CitEc Authenticated Download Date | 5/3/17 9:36 PM
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