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Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. (2005). Zhou, Hao ; Bollerslev, Tim ; Ang, Andrew ; Xing, Yuhang ; Chen, Joseph.
In: Proceedings.
RePEc:fip:fedgpr:y:2005:x:32.

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  1. Model-free volatility indexes in the financial literature: A review. (2015). Gonzalez-Perez, Maria T.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:40:y:2015:i:c:p:141-159.

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  2. Volatility as an Asset Class: European Evidence. (2007). Wallmeier, Martin ; Hafner, Reinhold.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:13:y:2007:i:7:p:621-644.

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  3. A Theory of Volatility Spreads. (2006). Madan, Dilip ; Bakshi, Gurdip .
    In: Management Science.
    RePEc:inm:ormnsc:v:52:y:2006:i:12:p:1945-1956.

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  4. A Prospect-Theoretical Interpretation of Momentum Returns. (2006). Schmeling, Maik ; Menkhoff, Lukas.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-335.

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