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Keywords: Volatility Skew
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2013) 21 (1): 97–133.
Published: 28 February 2013
... non-parametric method have information contents predicting the third-moment of KOSPI200 index return whereas skewness of options estimated from parametric method does not have any information forecasting the skewness of KOSPI200 index return. Volatility Skew Risk Neutral Distribution Lead-lag...
