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Option pricing with non-Gaussian scaling and infinite-state switching volatility
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The fine structure of equity-index option dynamics
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A non-linear dynamic model of the variance risk premium
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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
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The long and the short of the risk-return trade-off
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COMFORT: A common market factor non-Gaussian returns model
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Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
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