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Hwang, S. and Satchell, S.E. (2000) Market Risk and the Concept of Fundamental Volatility: Measuring Volatility across Asset and Derivative Markets and Testing for the Impact of Derivatives Markets on Financial Markets. Journal of Banking & Finance, 24, 759-785.
https://ideas.repec.org/a/eee/jbfina/v24y2000i5p759-785.html
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