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A Corridor Fix for High-Frequency VIX: Developing Coherent Implied Volatility Measures
Torben Andersen, Oleg Bondarenko, Maria Gonzalez-Perez
Andersen, Torben, Oleg Bondarenko, and Maria Gonzalez-Perez. 2014. A Corridor Fix for High-Frequency VIX: Developing Coherent Implied Volatility Measures.
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