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Published in 2017 at "Revista Brasileira De Economia"
DOI: 10.5935/0034-7140.20170001
Abstract: We propose an implied volatility index for Brazil that we name "IVol-BR". The index is based on daily market prices of options over IBOVESPA -- an option market with relatively low liquidity and few option…
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Keywords:
volatility;
low liquidity;
variance premium;
option ... See more keywords