Florian Ielpo : Citation Profile


Are you Florian Ielpo?

Université Paris 1 (Panthéon-Sorbonne)

7

H index

5

i10 index

204

Citations

RESEARCH PRODUCTION:

26

Articles

37

Papers

RESEARCH ACTIVITY:

   12 years (2006 - 2018). See details.
   Cites by year: 17
   Journals where Florian Ielpo has often published
   Relations with other researchers
   Recent citing documents: 24.    Total self citations: 21 (9.33 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pie2
   Updated: 2021-09-18    RAS profile: 2021-07-09    
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Relations with other researchers


Works with:

Lalaharison, Hanjarivo (4)

Sévi, Benoît (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Florian Ielpo.

Is cited by:

Chevallier, Julien (29)

Sévi, Benoît (10)

Wei, Yi-Ming (9)

Gnoatto, Alessandro (9)

Goutte, Stéphane (5)

DA FONSECA, José (5)

Escobar Anel, Marcos (3)

Zhang, Yue-Jun (3)

GUEGAN, Dominique (3)

Baruník, Jozef (3)

Kočenda, Evžen (3)

Cites to:

Bollerslev, Tim (28)

GUEGAN, Dominique (25)

Andersen, Torben (22)

Diebold, Francis (22)

Engle, Robert (19)

Maheu, John (13)

McCurdy, Tom (10)

Christoffersen, Peter (10)

Campbell, John (10)

Laurent, Sébastien (10)

Jagannathan, Ravi (9)

Main data


Where Florian Ielpo has published?


Journals with more than one article published# docs
Applied Economics Letters3
Journal of Forecasting2
Finance Research Letters2
International Journal of Theoretical and Applied Finance (IJTAF)2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL22
Documents de travail du Centre d'Economie de la Sorbonne / Universit Panthon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne11
MPRA Paper / University Library of Munich, Germany2

Recent works citing Florian Ielpo (2021 and 2020)


YearTitle of citing document
2020A Socioeconomic Well-Being Index. (2020). Ma, Xiaohan ; Shirvani, Abootaleb ; Trindade, Alexandre A. In: Papers. RePEc:arx:papers:2001.01036.

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2020Sector connectedness in the Chinese stock markets. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Ma, Jun-Chao ; Jiang, Zhi-Qiang ; Shen, Ying-Ying. In: Papers. RePEc:arx:papers:2002.09097.

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2020How does stock market reflect the change in economic demand? A study on the industry-specific volatility spillover networks of Chinas stock market during the outbreak of COVID-19. (2020). Yan, Yan ; Qiao, FU. In: Papers. RePEc:arx:papers:2007.07487.

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2020A Natural Disasters Index. (2020). Shirvani, Abootaleb ; Mahanama, Thilini V. In: Papers. RePEc:arx:papers:2008.03672.

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2020Spillover of Financial Innovations during Covid-19: A Cross-Country Analysis. (2020). Rout, Sanjay Kumar. In: Asian Development Policy Review. RePEc:asi:adprev:2020:p:298-318.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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2020Investing in gold – Market timing or buy-and-hold?. (2020). Dichtl, Hubert ; Baur, Dirk G ; Wendt, Viktoria-Sophie ; Drobetz, Wolfgang. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521918306227.

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2020Forecasting commodity prices out-of-sample: Can technical indicators help?. (2020). Wang, Yudong ; Wu, Chongfeng ; Liu, LI. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:666-683.

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2020How connected is the global sovereign credit risk network?. (2020). Yilmaz, Kamil ; Bostanci, Gorkem. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426620300285.

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2021International stochastic discount factors and covariance risk. (2021). Muck, Matthias ; Herold, Michael ; Branger, Nicole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s037842662030279x.

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2020Spillovers, integration and causality in LME non-ferrous metal markets. (2020). lucey, brian ; Yarovaya, Larisa ; Ciner, Cetin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:17:y:2020:i:c:s240585131730243x.

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2021Asymmetric and time-frequency spillovers among commodities using high-frequency data. (2021). Vo, Xuan Vinh ; Shahzad, Syed Jawad Hussain ; Caporin, Massimiliano ; Hasan, Mudassar ; Arif, Muhammad ; Naeem, Muhammad Abubakr. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309879.

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2020Interindustry volatility spillover effects in China’s stock market. (2020). Jin, Xue ; Liu, Zhe ; Yin, Kedong . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316632.

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2020Seasonal liquidity effects and their determinants on the covered bond market. (2020). Weigerding, Michael. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:78:y:2020:i:c:p:288-303.

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2020Exploring the risk spillover effects between carbon market and electricity market: A bidimensional empirical mode decomposition based conditional value at risk approach. (2020). Huang, Liqing ; Zhu, Bangzhu ; Wang, Ping ; Ye, Shunxin ; Yuan, Lili. In: International Review of Economics & Finance. RePEc:eee:reveco:v:67:y:2020:i:c:p:163-175.

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2021Dynamic connectedness of major financial markets in China and America. (2021). Chen, Shoudong ; Lin, Sihan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:646-656.

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2020Resource and Environmental Policies for the Mining Industry: What Should Governments Do About the Increasing Social and Environmental Risks?. (2020). Huhtala, Anni ; Ropponen, Olli. In: Working Papers. RePEc:fer:wpaper:137.

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2020The Impact of Industry on European Union Emissions Trading Market—From Network Perspective. (2020). Fan, Ying ; Liu, Yinpeng ; Wang, Jiqiang ; Guo, Jianfeng. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:21:p:5642-:d:436174.

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2021Commodity markets dynamics: What do crosscommodities over different nearest-to-maturities tell us?. (2021). Ben Amar, Amine ; Goutte, Stephane ; Isleimeyyeh, Mohammad. In: Working Papers. RePEc:hal:wpaper:halshs-03211699.

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2021On the application of Wishart process to the pricing of equity derivatives: the multi-asset case. (2021). Marazzina, Daniele ; Bua, Gaetano. In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:2:d:10.1007_s10287-021-00388-7.

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2020The role of temporal dependence in factor selection and forecasting oil prices. (2020). Mjelde, James W ; Pourahmadi, Mohsen ; Binder, Kyle E. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:3:d:10.1007_s00181-018-1574-9.

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2020Identifying financial instability conditions using high frequency data. (2020). Mancino, Maria Elvira ; Sanfelici, Simona. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:1:d:10.1007_s11403-019-00253-6.

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2021Dynamic return and volatility spillovers among S&P 500, crude oil, and gold. (2021). Balcilar, Mehmet ; Ozdemir, Zeynel Abidin. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:153-170.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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Works by Florian Ielpo:


YearTitleTypeCited
2014Cross-Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production In: Australian Economic Review.
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2014Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function In: Studies in Nonlinear Dynamics & Econometrics.
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article17
2008Flexible time series models for subjective distribution estimation with monetary policy in view In: Brussels Economic Review.
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article2
2007Flexible time series models for subjective distribution estimation with monetary policy in view.(2007) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has another version. Agregated cites: 2
paper
2008Flexible time series models for subjective distribution estimation with monetary policy in view.(2008) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper
2007Flexible time series models for subjective distribution estimation with monetary policy in view.(2007) In: Documents de travail du Centre d'Economie de la Sorbonne.
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paper
2013Common risk factors in commodities In: Economics Bulletin.
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article0
2013Option pricing with discrete time jump processes In: Journal of Economic Dynamics and Control.
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article2
2013Option pricing with discrete time jump processes.(2013) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper
2012Option pricing with discrete time jump processes.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011Option pricing with discrete time jump processes.(2011) In: Documents de travail du Centre d'Economie de la Sorbonne.
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paper
2012Option pricing with discrete time jump processes.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2018Testing for leverage effects in the returns of US equities In: Journal of Empirical Finance.
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2017Testing for Leverage Effects in the Returns of US Equities.(2017) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2018Testing for leverage effects in the returns of US equities.(2018) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper
2017Testing for Leverage Effects in the Returns of US Equities.(2017) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2009Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event In: Energy Policy.
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article60
2010Martingalized historical approach for option pricing In: Finance Research Letters.
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article7
2009Martingalized Historical approach for Option Pricing.(2009) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has another version. Agregated cites: 7
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2010Martingalized Historical approach for Option Pricing.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Empirical bias in intraday volatility measures In: Finance Research Letters.
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article3
2018Sector spillovers in credit markets In: Journal of Banking & Finance.
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article8
2017Investigating the leverage effect in commodity markets with a recursive estimation approach In: Research in International Business and Finance.
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article3
2014“Time series momentum” in commodity markets In: Managerial Finance.
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2008Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper18
2010Option pricing for GARCH-type models with generalized hyperbolic innovations.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010Option pricing for GARCH-type models with generalized hyperbolic innovations.(2010) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2012Option pricing for GARCH-type models with generalized hyperbolic innovations.(2012) In: Quantitative Finance.
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2013Understanding momentum in commodity markets In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013Understanding momentum in commodity markets.(2013) In: Applied Economics Letters.
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2015A time series approach to option pricing: Models, Methods and Empirical Performances In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper2
2014Commodity Markets through the business cycle In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014Commodity markets through the business cycle.(2014) In: Quantitative Finance.
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2007Further evidence on the impact of economic news on interest rates In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2009Further evidence on the impact of economic news on interest rates.(2009) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2007Further evidence on the impact of economic news on interest rates.(2007) In: MPRA Paper.
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2008Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2008Option pricing under GARCH models with generalized hyperbolic innovations (I): methodology.(2008) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2009Understanding the Importance of the Duration and Size of the Variations of Feds Target Rate In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2009Understanding the Importance of the Duration and Size of the Variations of Fed’s Target Rate.(2009) In: The IUP Journal of Monetary Economics.
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article
2010Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes.(2010) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2011The Number of Regimes Across Asset Returns: Identification and Economic Value In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE.(2014) In: International Journal of Theoretical and Applied Finance (IJTAF).
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2011Identifying and Explaining the Number of Regimes Driving Asset Returns In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2017The contribution of jumps to forecasting the density of returns In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2017The contribution of jumps to forecasting the density of returns.(2017) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2014Forecasting the density of oil futures In: Working Papers.
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2014Testing for Leverage Effect in Financial Returns In: Documents de travail du Centre d'Economie de la Sorbonne.
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paper1
2007Further evidence on the impact of economic news on interest In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]
paper5
2008Option pricing under GARCH models with generalized hyperbolic innovations (II): data and results In: Documents de travail du Centre d'Economie de la Sorbonne.
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paper4
2016An anatomy of global risk premiums In: Journal of Asset Management.
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article0
2006An econometric specification of monetary policy dark art In: MPRA Paper.
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2007Yield curve reaction to macroeconomic news in Europe :disentangling the US influence In: Working Papers CEB.
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2013Cross-market linkages between commodities, stocks and bonds In: Applied Economics Letters.
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article3
2013Volatility spillovers in commodity markets In: Applied Economics Letters.
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2012Equity, credit and the business cycle In: Applied Financial Economics.
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article2
2010Mean-reversion properties of implied volatilities In: The European Journal of Finance.
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2014Twenty years of jumps in commodity markets In: International Review of Applied Economics.
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article8
2013Forecasting the European Credit Cycle Using Macroeconomic Variables In: Journal of Forecasting.
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article1
2015Forward Rates, Monetary Policy and the Economic Cycle In: Journal of Forecasting.
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2011HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS In: International Journal of Theoretical and Applied Finance (IJTAF).
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