ARE VOLATILITY EXPECTATIONS CHARACTERIZED BY REGIME SHIFTS?
EVIDENCE FROM IMPLIED VOLATILITY INDICES
Kazuhiko Nishina
Nabil Maghrebi
Mark J. Holmes
Discussion Paper 06-20
July 2006
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Graduate School of Economics and
Osaka School of International Public Policy (OSIPP)
Osaka University, Toyonaka, Osaka 560-0043, JAPAN
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