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From Spot Volatility to Forward Volatility

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2012 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068, Copyright policy )
Authors: Adil Reghai; Gilles Boya;

doi: 10.2139/ssrn.2119563

From Spot Volatility to Forward Volatility

Abstract

The purpose of this note is to design a very simple algorithm to link the spot and the forward volatility representations. The impact of dividend volatility is stripped out from the forward volatility thanks to an analytic appraoch.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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