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The Geometry of the World of Currency Volatilities |
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| Authors: | Konstantinov Gueorgui S. Fabozzi Frank J. |
| Affiliation: | 1.LBBW Asset and Wealth Management, Stuttgart, Germany ;2.EDHEC Business School, Nice, France ; |
| Abstract: | Computational Economics - Using empirical data and the properties they reveal, we develop a factor that captures changes of both currency implied correlation and volatilities. For this purpose, we... |
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