ARE VOLATILITY EXPECTATIONS CHARACTERIZED BY REGIME SHIFTS? EVIDENCE FROM IMPLIED VOLATILITY INDICES



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Discussion Papers In Economics
And Business

ARE VOLATILITY EXPECTATIONS CHARACTERIZED BY REGIME SHIFTS?
EVIDENCE FROM IMPLIED VOLATILITY INDICES

Kazuhiko Nishina
Nabil Maghrebi
Mark J. Holmes

Discussion Paper 06-20

Graduate School of Economics and

Osaka School of International Public Policy (OSIPP)
Osaka University, Toyonaka, Osaka 560-0043, JAPAN



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