id	sid	tid	token	lemma	pos
fbem-26943	1	1	frontiers	frontier	NOUN
fbem-26943	1	2	in	in	ADP
fbem-26943	1	3	business	business	NOUN
fbem-26943	1	4	,	,	PUNCT
fbem-26943	1	5	economics	economic	NOUN
fbem-26943	1	6	and	and	CCONJ
fbem-26943	1	7	management	management	NOUN
fbem-26943	1	8	issn	issn	PROPN
fbem-26943	1	9	:	:	PUNCT
fbem-26943	1	10	2766	2766	NUM
fbem-26943	1	11	-	-	PUNCT
fbem-26943	1	12	824x	824x	NUM
fbem-26943	1	13	|	|	ADJ
fbem-26943	1	14	vol	vol	NOUN
fbem-26943	1	15	.	.	PROPN
fbem-26943	1	16	17	17	NUM
fbem-26943	1	17	,	,	PUNCT
fbem-26943	1	18	no	no	INTJ
fbem-26943	1	19	.	.	NOUN
fbem-26943	1	20	1	1	NUM
fbem-26943	1	21	,	,	PUNCT
fbem-26943	1	22	2024	2024	NUM
fbem-26943	1	23	353	353	NUM
fbem-26943	1	24	option	option	NOUN
fbem-26943	1	25	pricing	pricing	NOUN
fbem-26943	1	26	based	base	VERB
fbem-26943	1	27	on	on	ADP
fbem-26943	1	28	regarch	regarch	NOUN
fbem-26943	1	29	model	model	NOUN
fbem-26943	1	30	with	with	ADP
fbem-26943	1	31	highfrequency	highfrequency	NOUN
fbem-26943	1	32	information	information	NOUN
fbem-26943	1	33	xiaohan	xiaohan	PROPN
fbem-26943	1	34	zhao	zhao	PROPN
fbem-26943	1	35	*	*	PUNCT
fbem-26943	1	36	school	school	NOUN
fbem-26943	1	37	of	of	ADP
fbem-26943	1	38	finance	finance	NOUN
fbem-26943	1	39	,	,	PUNCT
fbem-26943	1	40	anhui	anhui	PROPN
fbem-26943	1	41	university	university	PROPN
fbem-26943	1	42	of	of	ADP
fbem-26943	1	43	finance	finance	NOUN
fbem-26943	1	44	and	and	CCONJ
fbem-26943	1	45	economics	economic	NOUN
fbem-26943	1	46	,	,	PUNCT
fbem-26943	1	47	bengbu	bengbu	NOUN
fbem-26943	1	48	233030	233030	NUM
fbem-26943	1	49	,	,	PUNCT
fbem-26943	1	50	china	china	PROPN
fbem-26943	1	51	*	*	PUNCT
fbem-26943	1	52	corresponding	correspond	VERB
fbem-26943	1	53	author	author	NOUN
fbem-26943	1	54	:	:	PUNCT
fbem-26943	1	55	xiaohan	xiaohan	PROPN
fbem-26943	1	56	zhao	zhao	PROPN
fbem-26943	1	57	(	(	PUNCT
fbem-26943	1	58	email	email	NOUN
fbem-26943	1	59	:	:	PUNCT
fbem-26943	1	60	zhaoxh29@163.com	zhaoxh29@163.com	X
fbem-26943	1	61	)	)	PUNCT
fbem-26943	1	62	abstract	abstract	NOUN
fbem-26943	1	63	:	:	PUNCT
fbem-26943	1	64	as	as	ADP
fbem-26943	1	65	a	a	DET
fbem-26943	1	66	prevalent	prevalent	ADJ
fbem-26943	1	67	tool	tool	NOUN
fbem-26943	1	68	for	for	ADP
fbem-26943	1	69	hedging	hedging	NOUN
fbem-26943	1	70	risk	risk	NOUN
fbem-26943	1	71	,	,	PUNCT
fbem-26943	1	72	the	the	DET
fbem-26943	1	73	trading	trading	NOUN
fbem-26943	1	74	volume	volume	NOUN
fbem-26943	1	75	of	of	ADP
fbem-26943	1	76	options	option	NOUN
fbem-26943	1	77	has	have	AUX
fbem-26943	1	78	been	be	AUX
fbem-26943	1	79	growing	grow	VERB
fbem-26943	1	80	increasingly	increasingly	ADV
fbem-26943	1	81	in	in	ADP
fbem-26943	1	82	the	the	DET
fbem-26943	1	83	derivatives	derivative	NOUN
fbem-26943	1	84	market	market	NOUN
fbem-26943	1	85	.	.	PUNCT
fbem-26943	2	1	precision	precision	NOUN
fbem-26943	2	2	in	in	ADP
fbem-26943	2	3	the	the	DET
fbem-26943	2	4	estimation	estimation	NOUN
fbem-26943	2	5	of	of	ADP
fbem-26943	2	6	volatility	volatility	NOUN
fbem-26943	2	7	leads	lead	VERB
fbem-26943	2	8	to	to	ADP
fbem-26943	2	9	accurate	accurate	ADJ
fbem-26943	2	10	option	option	NOUN
fbem-26943	2	11	pricing	pricing	NOUN
fbem-26943	2	12	.	.	PUNCT
fbem-26943	3	1	since	since	SCONJ
fbem-26943	3	2	volatility	volatility	NOUN
fbem-26943	3	3	is	be	AUX
fbem-26943	3	4	time	time	NOUN
fbem-26943	3	5	-	-	PUNCT
fbem-26943	3	6	varying	vary	VERB
fbem-26943	3	7	and	and	CCONJ
fbem-26943	3	8	has	have	VERB
fbem-26943	3	9	a	a	DET
fbem-26943	3	10	clustering	clustering	ADJ
fbem-26943	3	11	effect	effect	NOUN
fbem-26943	3	12	,	,	PUNCT
fbem-26943	3	13	garch	garch	NOUN
fbem-26943	3	14	class	class	NOUN
fbem-26943	3	15	of	of	ADP
fbem-26943	3	16	volatility	volatility	NOUN
fbem-26943	3	17	models	model	NOUN
fbem-26943	3	18	is	be	AUX
fbem-26943	3	19	effective	effective	ADJ
fbem-26943	3	20	in	in	ADP
fbem-26943	3	21	modeling	model	VERB
fbem-26943	3	22	volatility	volatility	NOUN
fbem-26943	3	23	precisely	precisely	ADV
fbem-26943	3	24	.	.	PUNCT
fbem-26943	4	1	this	this	DET
fbem-26943	4	2	paper	paper	NOUN
fbem-26943	4	3	utilizes	utilize	VERB
fbem-26943	4	4	the	the	DET
fbem-26943	4	5	realized	realize	VERB
fbem-26943	4	6	egarch	egarch	NOUN
fbem-26943	4	7	(	(	PUNCT
fbem-26943	4	8	regarch	regarch	NOUN
fbem-26943	4	9	)	)	PUNCT
fbem-26943	4	10	model	model	NOUN
fbem-26943	4	11	combined	combine	VERB
fbem-26943	4	12	with	with	ADP
fbem-26943	4	13	monte	monte	PROPN
fbem-26943	4	14	carlo	carlo	PROPN
fbem-26943	4	15	simulation	simulation	PROPN
fbem-26943	4	16	to	to	PART
fbem-26943	4	17	investigate	investigate	VERB
fbem-26943	4	18	the	the	DET
fbem-26943	4	19	role	role	NOUN
fbem-26943	4	20	of	of	ADP
fbem-26943	4	21	high	high	ADJ
fbem-26943	4	22	-	-	PUNCT
fbem-26943	4	23	frequency	frequency	NOUN
fbem-26943	4	24	information	information	NOUN
fbem-26943	4	25	in	in	ADP
fbem-26943	4	26	option	option	NOUN
fbem-26943	4	27	pricing	pricing	NOUN
fbem-26943	4	28	.	.	PUNCT
fbem-26943	5	1	the	the	DET
fbem-26943	5	2	parameter	parameter	NOUN
fbem-26943	5	3	estimates	estimate	NOUN
fbem-26943	5	4	of	of	ADP
fbem-26943	5	5	the	the	DET
fbem-26943	5	6	regarch	regarch	NOUN
fbem-26943	5	7	model	model	NOUN
fbem-26943	5	8	are	be	AUX
fbem-26943	5	9	obtained	obtain	VERB
fbem-26943	5	10	via	via	ADP
fbem-26943	5	11	joint	joint	ADJ
fbem-26943	5	12	maximum	maximum	ADJ
fbem-26943	5	13	likelihood	likelihood	NOUN
fbem-26943	5	14	estimation	estimation	NOUN
fbem-26943	5	15	using	use	VERB
fbem-26943	5	16	observations	observation	NOUN
fbem-26943	5	17	on	on	ADP
fbem-26943	5	18	returns	return	NOUN
fbem-26943	5	19	and	and	CCONJ
fbem-26943	5	20	realized	realize	VERB
fbem-26943	5	21	measure	measure	NOUN
fbem-26943	5	22	.	.	PUNCT
fbem-26943	6	1	applying	apply	VERB
fbem-26943	6	2	the	the	DET
fbem-26943	6	3	model	model	NOUN
fbem-26943	6	4	to	to	ADP
fbem-26943	6	5	s&p	s&p	PROPN
fbem-26943	6	6	options	option	NOUN
fbem-26943	6	7	market	market	NOUN
fbem-26943	6	8	,	,	PUNCT
fbem-26943	6	9	the	the	DET
fbem-26943	6	10	empirical	empirical	ADJ
fbem-26943	6	11	results	result	NOUN
fbem-26943	6	12	show	show	VERB
fbem-26943	6	13	that	that	SCONJ
fbem-26943	6	14	the	the	DET
fbem-26943	6	15	regarch	regarch	NOUN
fbem-26943	6	16	model	model	NOUN
fbem-26943	6	17	that	that	SCONJ
fbem-26943	6	18	using	use	VERB
fbem-26943	6	19	high	high	ADJ
fbem-26943	6	20	-	-	PUNCT
fbem-26943	6	21	frequency	frequency	NOUN
fbem-26943	6	22	data	datum	NOUN
fbem-26943	6	23	is	be	AUX
fbem-26943	6	24	more	more	ADV
fbem-26943	6	25	efficient	efficient	ADJ
fbem-26943	6	26	than	than	ADP
fbem-26943	6	27	the	the	DET
fbem-26943	6	28	model	model	NOUN
fbem-26943	6	29	that	that	PRON
fbem-26943	6	30	only	only	ADV
fbem-26943	6	31	use	use	VERB
fbem-26943	6	32	daily	daily	ADJ
fbem-26943	6	33	closing	closing	NOUN
fbem-26943	6	34	prices	price	NOUN
fbem-26943	6	35	,	,	PUNCT
fbem-26943	6	36	including	include	VERB
fbem-26943	6	37	the	the	DET
fbem-26943	6	38	egarch	egarch	NOUN
fbem-26943	6	39	,	,	PUNCT
fbem-26943	6	40	ngarch	ngarch	NOUN
fbem-26943	6	41	and	and	CCONJ
fbem-26943	6	42	gjr	gjr	ADJ
fbem-26943	6	43	-	-	PUNCT
fbem-26943	6	44	garch	garch	NOUN
fbem-26943	6	45	models	model	NOUN
fbem-26943	6	46	.	.	PUNCT
fbem-26943	7	1	this	this	DET
fbem-26943	7	2	paper	paper	NOUN
fbem-26943	7	3	demonstrates	demonstrate	VERB
fbem-26943	7	4	that	that	SCONJ
fbem-26943	7	5	incorporating	incorporate	VERB
fbem-26943	7	6	realized	realize	VERB
fbem-26943	7	7	measures	measure	NOUN
fbem-26943	7	8	into	into	ADP
fbem-26943	7	9	volatility	volatility	NOUN
fbem-26943	7	10	models	model	NOUN
fbem-26943	7	11	can	can	AUX
fbem-26943	7	12	improve	improve	VERB
fbem-26943	7	13	the	the	DET
fbem-26943	7	14	accuracy	accuracy	NOUN
fbem-26943	7	15	of	of	ADP
fbem-26943	7	16	option	option	NOUN
fbem-26943	7	17	pricing	pricing	NOUN
fbem-26943	7	18	.	.	PUNCT
fbem-26943	8	1	the	the	DET
fbem-26943	8	2	regarch	regarch	NOUN
fbem-26943	8	3	model	model	NOUN
fbem-26943	8	4	contained	contain	VERB
fbem-26943	8	5	more	more	ADJ
fbem-26943	8	6	intraday	intraday	NOUN
fbem-26943	8	7	trading	trading	NOUN
fbem-26943	8	8	information	information	NOUN
fbem-26943	8	9	from	from	ADP
fbem-26943	8	10	high	high	ADJ
fbem-26943	8	11	-	-	PUNCT
fbem-26943	8	12	frequency	frequency	NOUN
fbem-26943	8	13	data	datum	NOUN
fbem-26943	8	14	,	,	PUNCT
fbem-26943	8	15	can	can	AUX
fbem-26943	8	16	measure	measure	VERB
fbem-26943	8	17	the	the	DET
fbem-26943	8	18	additional	additional	ADJ
fbem-26943	8	19	risk	risk	NOUN
fbem-26943	8	20	premiums	premium	NOUN
fbem-26943	8	21	and	and	CCONJ
fbem-26943	8	22	specific	specific	ADJ
fbem-26943	8	23	volatility	volatility	NOUN
fbem-26943	8	24	shocks	shock	NOUN
fbem-26943	8	25	.	.	PUNCT
fbem-26943	9	1	keywords	keyword	NOUN
fbem-26943	9	2	:	:	PUNCT
fbem-26943	9	3	option	option	NOUN
fbem-26943	9	4	pricing	pricing	NOUN
fbem-26943	9	5	,	,	PUNCT
fbem-26943	9	6	high	high	ADJ
fbem-26943	9	7	-	-	PUNCT
fbem-26943	9	8	frequency	frequency	NOUN
fbem-26943	9	9	information	information	NOUN
fbem-26943	9	10	,	,	PUNCT
fbem-26943	9	11	realized	realize	VERB
fbem-26943	9	12	volatility	volatility	NOUN
fbem-26943	9	13	,	,	PUNCT
fbem-26943	9	14	regarch	regarch	NOUN
fbem-26943	9	15	model	model	NOUN
fbem-26943	9	16	,	,	PUNCT
fbem-26943	9	17	s&p	s&p	PROPN
fbem-26943	9	18	500	500	NUM
fbem-26943	9	19	index	index	NOUN
fbem-26943	9	20	options	option	NOUN
fbem-26943	9	21	.	.	PUNCT
fbem-26943	10	1	1	1	X
fbem-26943	10	2	.	.	X
fbem-26943	10	3	introduction	introduction	NOUN
fbem-26943	10	4	options	option	NOUN
fbem-26943	10	5	are	be	AUX
fbem-26943	10	6	an	an	DET
fbem-26943	10	7	important	important	ADJ
fbem-26943	10	8	financial	financial	ADJ
fbem-26943	10	9	instrument	instrument	NOUN
fbem-26943	10	10	in	in	ADP
fbem-26943	10	11	the	the	DET
fbem-26943	10	12	derivatives	derivative	NOUN
fbem-26943	10	13	trading	trading	NOUN
fbem-26943	10	14	market	market	NOUN
fbem-26943	10	15	,	,	PUNCT
fbem-26943	10	16	and	and	CCONJ
fbem-26943	10	17	the	the	DET
fbem-26943	10	18	trading	trading	NOUN
fbem-26943	10	19	volume	volume	NOUN
fbem-26943	10	20	has	have	AUX
fbem-26943	10	21	been	be	AUX
fbem-26943	10	22	growing	grow	VERB
fbem-26943	10	23	rapidly	rapidly	ADV
fbem-26943	10	24	in	in	ADP
fbem-26943	10	25	recent	recent	ADJ
fbem-26943	10	26	decades	decade	NOUN
fbem-26943	10	27	[	[	X
fbem-26943	10	28	1	1	NUM
fbem-26943	10	29	-	-	SYM
fbem-26943	10	30	3	3	NUM
fbem-26943	10	31	]	]	PUNCT
fbem-26943	10	32	.	.	PUNCT
fbem-26943	11	1	the	the	DET
fbem-26943	11	2	necessity	necessity	NOUN
fbem-26943	11	3	of	of	ADP
fbem-26943	11	4	accurate	accurate	ADJ
fbem-26943	11	5	option	option	NOUN
fbem-26943	11	6	pricing	pricing	NOUN
fbem-26943	11	7	is	be	AUX
fbem-26943	11	8	self	self	NOUN
fbem-26943	11	9	-	-	PUNCT
fbem-26943	11	10	evident	evident	ADJ
fbem-26943	11	11	.	.	PUNCT
fbem-26943	12	1	the	the	DET
fbem-26943	12	2	black	black	ADJ
fbem-26943	12	3	-	-	PUNCT
fbem-26943	12	4	scholes	schole	NOUN
fbem-26943	12	5	model	model	NOUN
fbem-26943	12	6	,	,	PUNCT
fbem-26943	12	7	proposed	propose	VERB
fbem-26943	12	8	by	by	ADP
fbem-26943	12	9	scholes	schole	NOUN
fbem-26943	12	10	and	and	CCONJ
fbem-26943	12	11	black	black	ADJ
fbem-26943	12	12	[	[	X
fbem-26943	12	13	4	4	NUM
fbem-26943	12	14	]	]	PUNCT
fbem-26943	12	15	,	,	PUNCT
fbem-26943	12	16	is	be	AUX
fbem-26943	12	17	a	a	DET
fbem-26943	12	18	groundbreaking	groundbreake	VERB
fbem-26943	12	19	work	work	NOUN
fbem-26943	12	20	in	in	ADP
fbem-26943	12	21	the	the	DET
fbem-26943	12	22	field	field	NOUN
fbem-26943	12	23	of	of	ADP
fbem-26943	12	24	option	option	NOUN
fbem-26943	12	25	pricing	pricing	NOUN
fbem-26943	12	26	.	.	PUNCT
fbem-26943	13	1	however	however	ADV
fbem-26943	13	2	,	,	PUNCT
fbem-26943	13	3	the	the	DET
fbem-26943	13	4	model	model	NOUN
fbem-26943	13	5	assumes	assume	VERB
fbem-26943	13	6	that	that	SCONJ
fbem-26943	13	7	the	the	DET
fbem-26943	13	8	returns	return	NOUN
fbem-26943	13	9	on	on	ADP
fbem-26943	13	10	the	the	DET
fbem-26943	13	11	underlying	underlie	VERB
fbem-26943	13	12	asset	asset	NOUN
fbem-26943	13	13	follow	follow	VERB
fbem-26943	13	14	a	a	DET
fbem-26943	13	15	normal	normal	ADJ
fbem-26943	13	16	distribution	distribution	NOUN
fbem-26943	13	17	and	and	CCONJ
fbem-26943	13	18	the	the	DET
fbem-26943	13	19	volatility	volatility	NOUN
fbem-26943	13	20	is	be	AUX
fbem-26943	13	21	a	a	DET
fbem-26943	13	22	constant	constant	ADJ
fbem-26943	13	23	,	,	PUNCT
fbem-26943	13	24	which	which	PRON
fbem-26943	13	25	does	do	AUX
fbem-26943	13	26	not	not	PART
fbem-26943	13	27	align	align	VERB
fbem-26943	13	28	with	with	ADP
fbem-26943	13	29	the	the	DET
fbem-26943	13	30	volatility	volatility	NOUN
fbem-26943	13	31	patterns	pattern	NOUN
fbem-26943	13	32	observed	observe	VERB
fbem-26943	13	33	in	in	ADP
fbem-26943	13	34	real	real	ADJ
fbem-26943	13	35	financial	financial	ADJ
fbem-26943	13	36	markets	market	NOUN
fbem-26943	13	37	.	.	PUNCT
fbem-26943	14	1	to	to	PART
fbem-26943	14	2	better	well	ADV
fbem-26943	14	3	capture	capture	VERB
fbem-26943	14	4	the	the	DET
fbem-26943	14	5	stylized	stylize	VERB
fbem-26943	14	6	facts	fact	NOUN
fbem-26943	14	7	of	of	ADP
fbem-26943	14	8	the	the	DET
fbem-26943	14	9	dynamics	dynamic	NOUN
fbem-26943	14	10	of	of	ADP
fbem-26943	14	11	volatility	volatility	NOUN
fbem-26943	14	12	,	,	PUNCT
fbem-26943	14	13	including	include	VERB
fbem-26943	14	14	clustering	cluster	VERB
fbem-26943	14	15	,	,	PUNCT
fbem-26943	14	16	long	long	ADJ
fbem-26943	14	17	memory	memory	NOUN
fbem-26943	14	18	,	,	PUNCT
fbem-26943	14	19	leverage	leverage	NOUN
fbem-26943	14	20	effect	effect	NOUN
fbem-26943	14	21	and	and	CCONJ
fbem-26943	14	22	heavy	heavy	ADJ
fbem-26943	14	23	tails	tail	NOUN
fbem-26943	14	24	of	of	ADP
fbem-26943	14	25	distribution	distribution	NOUN
fbem-26943	14	26	,	,	PUNCT
fbem-26943	14	27	researchers	researcher	NOUN
fbem-26943	14	28	have	have	AUX
fbem-26943	14	29	begun	begin	VERB
fbem-26943	14	30	to	to	PART
fbem-26943	14	31	propose	propose	VERB
fbem-26943	14	32	stochastic	stochastic	ADJ
fbem-26943	14	33	volatility	volatility	NOUN
fbem-26943	14	34	models	model	NOUN
fbem-26943	14	35	for	for	ADP
fbem-26943	14	36	option	option	NOUN
fbem-26943	14	37	pricing	pricing	NOUN
fbem-26943	14	38	.	.	PUNCT
fbem-26943	15	1	these	these	DET
fbem-26943	15	2	models	model	NOUN
fbem-26943	15	3	evolve	evolve	VERB
fbem-26943	15	4	the	the	DET
fbem-26943	15	5	assumption	assumption	NOUN
fbem-26943	15	6	of	of	ADP
fbem-26943	15	7	constant	constant	ADJ
fbem-26943	15	8	volatility	volatility	NOUN
fbem-26943	15	9	to	to	ADP
fbem-26943	15	10	time	time	NOUN
fbem-26943	15	11	-	-	PUNCT
fbem-26943	15	12	varying	vary	VERB
fbem-26943	15	13	volatility	volatility	NOUN
fbem-26943	15	14	[	[	X
fbem-26943	15	15	5	5	NUM
fbem-26943	15	16	-	-	SYM
fbem-26943	15	17	7	7	NUM
fbem-26943	15	18	]	]	PUNCT
fbem-26943	15	19	.	.	PUNCT
fbem-26943	16	1	accurately	accurately	ADV
fbem-26943	16	2	modeling	model	VERB
fbem-26943	16	3	the	the	DET
fbem-26943	16	4	dynamics	dynamic	NOUN
fbem-26943	16	5	of	of	ADP
fbem-26943	16	6	the	the	DET
fbem-26943	16	7	underlying	underlie	VERB
fbem-26943	16	8	asset	asset	NOUN
fbem-26943	16	9	is	be	AUX
fbem-26943	16	10	crucial	crucial	ADJ
fbem-26943	16	11	for	for	ADP
fbem-26943	16	12	an	an	DET
fbem-26943	16	13	effective	effective	ADJ
fbem-26943	16	14	option	option	NOUN
fbem-26943	16	15	pricing	pricing	NOUN
fbem-26943	16	16	model	model	NOUN
fbem-26943	16	17	.	.	PUNCT
fbem-26943	17	1	duan	duan	PROPN
fbem-26943	18	1	[	[	X
fbem-26943	18	2	8	8	NUM
fbem-26943	18	3	]	]	PUNCT
fbem-26943	18	4	employs	employ	VERB
fbem-26943	18	5	the	the	DET
fbem-26943	18	6	generalized	generalized	ADJ
fbem-26943	18	7	autoregressive	autoregressive	ADJ
fbem-26943	18	8	conditional	conditional	ADJ
fbem-26943	18	9	heteroskedasticity	heteroskedasticity	NOUN
fbem-26943	18	10	(	(	PUNCT
fbem-26943	18	11	garch	garch	NOUN
fbem-26943	18	12	)	)	PUNCT
fbem-26943	18	13	model	model	NOUN
fbem-26943	18	14	for	for	ADP
fbem-26943	18	15	option	option	NOUN
fbem-26943	18	16	pricing	pricing	NOUN
fbem-26943	18	17	through	through	ADP
fbem-26943	18	18	a	a	DET
fbem-26943	18	19	local	local	ADJ
fbem-26943	18	20	risk	risk	NOUN
fbem-26943	18	21	-	-	PUNCT
fbem-26943	18	22	neutral	neutral	ADJ
fbem-26943	18	23	valuation	valuation	NOUN
fbem-26943	18	24	approach	approach	NOUN
fbem-26943	18	25	.	.	PUNCT
fbem-26943	19	1	the	the	DET
fbem-26943	19	2	model	model	NOUN
fbem-26943	19	3	effectively	effectively	ADV
fbem-26943	19	4	captures	capture	VERB
fbem-26943	19	5	empirical	empirical	ADJ
fbem-26943	19	6	characteristics	characteristic	NOUN
fbem-26943	19	7	of	of	ADP
fbem-26943	19	8	asset	asset	NOUN
fbem-26943	19	9	returns	return	NOUN
fbem-26943	19	10	,	,	PUNCT
fbem-26943	19	11	such	such	ADJ
fbem-26943	19	12	as	as	ADP
fbem-26943	19	13	leptokurtosis	leptokurtosis	NOUN
fbem-26943	19	14	,	,	PUNCT
fbem-26943	19	15	volatility	volatility	NOUN
fbem-26943	19	16	clustering	clustering	NOUN
fbem-26943	19	17	,	,	PUNCT
fbem-26943	19	18	and	and	CCONJ
fbem-26943	19	19	time	time	NOUN
fbem-26943	19	20	-	-	PUNCT
fbem-26943	19	21	varying	vary	VERB
fbem-26943	19	22	volatility	volatility	NOUN
fbem-26943	19	23	,	,	PUNCT
fbem-26943	19	24	and	and	CCONJ
fbem-26943	19	25	it	it	PRON
fbem-26943	19	26	offers	offer	VERB
fbem-26943	19	27	good	good	ADJ
fbem-26943	19	28	predictive	predictive	ADJ
fbem-26943	19	29	performance	performance	NOUN
fbem-26943	19	30	for	for	ADP
fbem-26943	19	31	volatility	volatility	NOUN
fbem-26943	19	32	,	,	PUNCT
fbem-26943	19	33	making	make	VERB
fbem-26943	19	34	it	it	PRON
fbem-26943	19	35	widely	widely	ADV
fbem-26943	19	36	used	use	VERB
fbem-26943	19	37	in	in	ADP
fbem-26943	19	38	option	option	NOUN
fbem-26943	19	39	pricing	pricing	NOUN
fbem-26943	19	40	.	.	PUNCT
fbem-26943	20	1	however	however	ADV
fbem-26943	20	2	,	,	PUNCT
fbem-26943	20	3	the	the	DET
fbem-26943	20	4	garch	garch	NOUN
fbem-26943	20	5	model	model	NOUN
fbem-26943	20	6	assumes	assume	VERB
fbem-26943	20	7	that	that	SCONJ
fbem-26943	20	8	asset	asset	NOUN
fbem-26943	20	9	return	return	NOUN
fbem-26943	20	10	innovations	innovation	NOUN
fbem-26943	20	11	follow	follow	VERB
fbem-26943	20	12	a	a	DET
fbem-26943	20	13	normal	normal	ADJ
fbem-26943	20	14	distribution	distribution	NOUN
fbem-26943	20	15	,	,	PUNCT
fbem-26943	20	16	which	which	PRON
fbem-26943	20	17	does	do	AUX
fbem-26943	20	18	not	not	PART
fbem-26943	20	19	reflect	reflect	VERB
fbem-26943	20	20	the	the	DET
fbem-26943	20	21	nonnormal	nonnormal	ADJ
fbem-26943	20	22	characteristics	characteristic	NOUN
fbem-26943	20	23	of	of	ADP
fbem-26943	20	24	asset	asset	NOUN
fbem-26943	20	25	returns	return	NOUN
fbem-26943	20	26	.	.	PUNCT
fbem-26943	21	1	moreover	moreover	ADV
fbem-26943	21	2	,	,	PUNCT
fbem-26943	21	3	the	the	DET
fbem-26943	21	4	dynamics	dynamic	NOUN
fbem-26943	21	5	of	of	ADP
fbem-26943	21	6	asset	asset	NOUN
fbem-26943	21	7	returns	return	NOUN
fbem-26943	21	8	under	under	ADP
fbem-26943	21	9	the	the	DET
fbem-26943	21	10	objective	objective	ADJ
fbem-26943	21	11	and	and	CCONJ
fbem-26943	21	12	risk	risk	NOUN
fbem-26943	21	13	-	-	PUNCT
fbem-26943	21	14	neutral	neutral	ADJ
fbem-26943	21	15	measures	measure	NOUN
fbem-26943	21	16	are	be	AUX
fbem-26943	21	17	based	base	VERB
fbem-26943	21	18	on	on	ADP
fbem-26943	21	19	consistent	consistent	ADJ
fbem-26943	21	20	parameters	parameter	NOUN
fbem-26943	21	21	,	,	PUNCT
fbem-26943	21	22	leading	lead	VERB
fbem-26943	21	23	to	to	ADP
fbem-26943	21	24	certain	certain	ADJ
fbem-26943	21	25	errors	error	NOUN
fbem-26943	21	26	in	in	ADP
fbem-26943	21	27	option	option	NOUN
fbem-26943	21	28	pricing	pricing	NOUN
fbem-26943	21	29	.	.	PUNCT
fbem-26943	22	1	the	the	DET
fbem-26943	22	2	exponential	exponential	ADJ
fbem-26943	22	3	garch	garch	NOUN
fbem-26943	22	4	(	(	PUNCT
fbem-26943	22	5	egarch	egarch	NOUN
fbem-26943	22	6	)	)	PUNCT
fbem-26943	22	7	model	model	NOUN
fbem-26943	22	8	,	,	PUNCT
fbem-26943	22	9	proposed	propose	VERB
fbem-26943	22	10	by	by	ADP
fbem-26943	22	11	nelson	nelson	PROPN
fbem-26943	23	1	[	[	X
fbem-26943	23	2	9	9	NUM
fbem-26943	23	3	]	]	PUNCT
fbem-26943	23	4	,	,	PUNCT
fbem-26943	23	5	is	be	AUX
fbem-26943	23	6	type	type	NOUN
fbem-26943	23	7	of	of	ADP
fbem-26943	23	8	volatility	volatility	NOUN
fbem-26943	23	9	model	model	NOUN
fbem-26943	23	10	that	that	PRON
fbem-26943	23	11	is	be	AUX
fbem-26943	23	12	particularly	particularly	ADV
fbem-26943	23	13	adept	adept	ADJ
fbem-26943	23	14	at	at	ADP
fbem-26943	23	15	capturing	capture	VERB
fbem-26943	23	16	the	the	DET
fbem-26943	23	17	asymmetric	asymmetric	ADJ
fbem-26943	23	18	effects	effect	NOUN
fbem-26943	23	19	of	of	ADP
fbem-26943	23	20	positive	positive	ADJ
fbem-26943	23	21	and	and	CCONJ
fbem-26943	23	22	negative	negative	ADJ
fbem-26943	23	23	shocks	shock	NOUN
fbem-26943	23	24	on	on	ADP
fbem-26943	23	25	volatility	volatility	NOUN
fbem-26943	23	26	.	.	PUNCT
fbem-26943	24	1	engle	engle	PROPN
fbem-26943	24	2	and	and	CCONJ
fbem-26943	24	3	ng	ng	PROPN
fbem-26943	25	1	[	[	X
fbem-26943	25	2	10	10	NUM
fbem-26943	25	3	]	]	PUNCT
fbem-26943	25	4	introduce	introduce	VERB
fbem-26943	25	5	the	the	DET
fbem-26943	25	6	nonlinear	nonlinear	ADJ
fbem-26943	25	7	garch	garch	NOUN
fbem-26943	25	8	(	(	PUNCT
fbem-26943	25	9	ngarch	ngarch	NOUN
fbem-26943	25	10	)	)	PUNCT
fbem-26943	25	11	model	model	NOUN
fbem-26943	25	12	,	,	PUNCT
fbem-26943	25	13	which	which	PRON
fbem-26943	25	14	is	be	AUX
fbem-26943	25	15	designed	design	VERB
fbem-26943	25	16	to	to	PART
fbem-26943	25	17	capture	capture	VERB
fbem-26943	25	18	the	the	DET
fbem-26943	25	19	asymmetric	asymmetric	ADJ
fbem-26943	25	20	effect	effect	NOUN
fbem-26943	25	21	of	of	ADP
fbem-26943	25	22	shocks	shock	NOUN
fbem-26943	25	23	on	on	ADP
fbem-26943	25	24	volatility	volatility	NOUN
fbem-26943	25	25	.	.	PUNCT
fbem-26943	26	1	glosten	glosten	ADJ
fbem-26943	26	2	et	et	PROPN
fbem-26943	26	3	al	al	PROPN
fbem-26943	26	4	.	.	PUNCT
fbem-26943	27	1	[	[	X
fbem-26943	27	2	11	11	NUM
fbem-26943	27	3	]	]	PUNCT
fbem-26943	27	4	propose	propose	VERB
fbem-26943	27	5	the	the	DET
fbem-26943	27	6	gjr	gjr	NOUN
fbem-26943	27	7	-	-	PUNCT
fbem-26943	27	8	garch	garch	NOUN
fbem-26943	27	9	model	model	NOUN
fbem-26943	27	10	,	,	PUNCT
fbem-26943	27	11	which	which	PRON
fbem-26943	27	12	particularly	particularly	ADV
fbem-26943	27	13	designed	design	VERB
fbem-26943	27	14	to	to	PART
fbem-26943	27	15	address	address	VERB
fbem-26943	27	16	the	the	DET
fbem-26943	27	17	leverage	leverage	NOUN
fbem-26943	27	18	effect	effect	NOUN
fbem-26943	27	19	observed	observe	VERB
fbem-26943	27	20	in	in	ADP
fbem-26943	27	21	financial	financial	ADJ
fbem-26943	27	22	markets	market	NOUN
fbem-26943	27	23	.	.	PUNCT
fbem-26943	28	1	in	in	ADP
fbem-26943	28	2	comparison	comparison	NOUN
fbem-26943	28	3	to	to	ADP
fbem-26943	28	4	ngarch	ngarch	PROPN
fbem-26943	28	5	model	model	NOUN
fbem-26943	28	6	,	,	PUNCT
fbem-26943	28	7	the	the	DET
fbem-26943	28	8	gjrgarch	gjrgarch	NOUN
fbem-26943	28	9	model	model	NOUN
fbem-26943	28	10	is	be	AUX
fbem-26943	28	11	more	more	ADV
fbem-26943	28	12	flexible	flexible	ADJ
fbem-26943	28	13	in	in	ADP
fbem-26943	28	14	capturing	capture	VERB
fbem-26943	28	15	the	the	DET
fbem-26943	28	16	leverage	leverage	NOUN
fbem-26943	28	17	effect	effect	NOUN
fbem-26943	28	18	.	.	PUNCT
fbem-26943	29	1	enhancing	enhance	VERB
fbem-26943	29	2	the	the	DET
fbem-26943	29	3	information	information	NOUN
fbem-26943	29	4	content	content	NOUN
fbem-26943	29	5	or	or	CCONJ
fbem-26943	29	6	refining	refine	VERB
fbem-26943	29	7	the	the	DET
fbem-26943	29	8	model	model	NOUN
fbem-26943	29	9	architecture	architecture	NOUN
fbem-26943	29	10	can	can	AUX
fbem-26943	29	11	offer	offer	VERB
fbem-26943	29	12	a	a	DET
fbem-26943	29	13	more	more	ADV
fbem-26943	29	14	comprehensive	comprehensive	ADJ
fbem-26943	29	15	depiction	depiction	NOUN
fbem-26943	29	16	of	of	ADP
fbem-26943	29	17	daily	daily	ADJ
fbem-26943	29	18	volatility	volatility	NOUN
fbem-26943	29	19	,	,	PUNCT
fbem-26943	29	20	thereby	thereby	ADV
fbem-26943	29	21	enhancing	enhance	VERB
fbem-26943	29	22	the	the	DET
fbem-26943	29	23	accuracy	accuracy	NOUN
fbem-26943	29	24	of	of	ADP
fbem-26943	29	25	option	option	NOUN
fbem-26943	29	26	pricing	pricing	NOUN
fbem-26943	29	27	models	model	NOUN
fbem-26943	29	28	.	.	PUNCT
fbem-26943	30	1	with	with	ADP
fbem-26943	30	2	the	the	DET
fbem-26943	30	3	growing	grow	VERB
fbem-26943	30	4	accessibility	accessibility	NOUN
fbem-26943	30	5	of	of	ADP
fbem-26943	30	6	highfrequency	highfrequency	NOUN
fbem-26943	30	7	data	datum	NOUN
fbem-26943	30	8	,	,	PUNCT
fbem-26943	30	9	which	which	PRON
fbem-26943	30	10	encompasses	encompass	VERB
fbem-26943	30	11	a	a	DET
fbem-26943	30	12	richer	rich	ADJ
fbem-26943	30	13	set	set	NOUN
fbem-26943	30	14	of	of	ADP
fbem-26943	30	15	trading	trading	NOUN
fbem-26943	30	16	information	information	NOUN
fbem-26943	30	17	,	,	PUNCT
fbem-26943	30	18	it	it	PRON
fbem-26943	30	19	has	have	AUX
fbem-26943	30	20	become	become	VERB
fbem-26943	30	21	an	an	DET
fbem-26943	30	22	increasingly	increasingly	ADV
fbem-26943	30	23	popular	popular	ADJ
fbem-26943	30	24	tool	tool	NOUN
fbem-26943	30	25	for	for	ADP
fbem-26943	30	26	option	option	NOUN
fbem-26943	30	27	pricing	pricing	NOUN
fbem-26943	30	28	due	due	ADP
fbem-26943	30	29	to	to	ADP
fbem-26943	30	30	its	its	PRON
fbem-26943	30	31	more	more	ADV
fbem-26943	30	32	accurate	accurate	ADJ
fbem-26943	30	33	reflection	reflection	NOUN
fbem-26943	30	34	of	of	ADP
fbem-26943	30	35	volatility	volatility	NOUN
fbem-26943	30	36	.	.	PUNCT
fbem-26943	31	1	studies	study	NOUN
fbem-26943	31	2	such	such	ADJ
fbem-26943	31	3	as	as	ADP
fbem-26943	31	4	those	those	PRON
fbem-26943	31	5	by	by	ADP
fbem-26943	31	6	coris	coris	NOUN
fbem-26943	31	7	et	et	PROPN
fbem-26943	31	8	al	al	PROPN
fbem-26943	31	9	.	.	PUNCT
fbem-26943	32	1	[	[	X
fbem-26943	32	2	12	12	NUM
fbem-26943	32	3	]	]	PUNCT
fbem-26943	32	4	and	and	CCONJ
fbem-26943	32	5	christoffersen	christoffersen	VERB
fbem-26943	32	6	et	et	PROPN
fbem-26943	32	7	al	al	PROPN
fbem-26943	32	8	.	.	PUNCT
fbem-26943	33	1	[	[	X
fbem-26943	33	2	13	13	NUM
fbem-26943	33	3	]	]	PUNCT
fbem-26943	33	4	have	have	AUX
fbem-26943	33	5	demonstrated	demonstrate	VERB
fbem-26943	33	6	the	the	DET
fbem-26943	33	7	superiority	superiority	NOUN
fbem-26943	33	8	of	of	ADP
fbem-26943	33	9	models	model	NOUN
fbem-26943	33	10	that	that	PRON
fbem-26943	33	11	simultaneously	simultaneously	ADV
fbem-26943	33	12	consider	consider	VERB
fbem-26943	33	13	the	the	DET
fbem-26943	33	14	dynamics	dynamic	NOUN
fbem-26943	33	15	of	of	ADP
fbem-26943	33	16	returns	return	NOUN
fbem-26943	33	17	and	and	CCONJ
fbem-26943	33	18	realized	realize	VERB
fbem-26943	33	19	variances	variance	NOUN
fbem-26943	33	20	over	over	ADP
fbem-26943	33	21	those	those	PRON
fbem-26943	33	22	that	that	PRON
fbem-26943	33	23	rely	rely	VERB
fbem-26943	33	24	solely	solely	ADV
fbem-26943	33	25	on	on	ADP
fbem-26943	33	26	return	return	NOUN
fbem-26943	33	27	data	datum	NOUN
fbem-26943	33	28	.	.	PUNCT
fbem-26943	34	1	to	to	PART
fbem-26943	34	2	more	more	ADV
fbem-26943	34	3	effectively	effectively	ADV
fbem-26943	34	4	capture	capture	VERB
fbem-26943	34	5	the	the	DET
fbem-26943	34	6	interplay	interplay	NOUN
fbem-26943	34	7	between	between	ADP
fbem-26943	34	8	returns	return	NOUN
fbem-26943	34	9	and	and	CCONJ
fbem-26943	34	10	volatility	volatility	NOUN
fbem-26943	34	11	,	,	PUNCT
fbem-26943	34	12	hansen	hansen	PROPN
fbem-26943	34	13	and	and	CCONJ
fbem-26943	34	14	huang	huang	PROPN
fbem-26943	35	1	[	[	X
fbem-26943	35	2	14	14	NUM
fbem-26943	35	3	]	]	PUNCT
fbem-26943	35	4	introduced	introduce	VERB
fbem-26943	35	5	the	the	DET
fbem-26943	35	6	regarch	regarch	NOUN
fbem-26943	35	7	model	model	NOUN
fbem-26943	35	8	,	,	PUNCT
fbem-26943	35	9	featuring	feature	VERB
fbem-26943	35	10	a	a	DET
fbem-26943	35	11	more	more	ADV
fbem-26943	35	12	adaptable	adaptable	ADJ
fbem-26943	35	13	leverage	leverage	NOUN
fbem-26943	35	14	function	function	NOUN
fbem-26943	35	15	.	.	PUNCT
fbem-26943	36	1	subsequent	subsequent	ADJ
fbem-26943	36	2	research	research	NOUN
fbem-26943	36	3	by	by	ADP
fbem-26943	36	4	hansen	hansen	PROPN
fbem-26943	36	5	et	et	PROPN
fbem-26943	36	6	al	al	PROPN
fbem-26943	36	7	.	.	PUNCT
fbem-26943	37	1	[	[	X
fbem-26943	37	2	15	15	NUM
fbem-26943	37	3	]	]	PUNCT
fbem-26943	37	4	confirmed	confirm	VERB
fbem-26943	37	5	that	that	SCONJ
fbem-26943	37	6	the	the	DET
fbem-26943	37	7	regarch	regarch	NOUN
fbem-26943	37	8	model	model	NOUN
fbem-26943	37	9	outperforms	outperform	VERB
fbem-26943	37	10	other	other	ADJ
fbem-26943	37	11	alternatives	alternative	NOUN
fbem-26943	37	12	in	in	ADP
fbem-26943	37	13	terms	term	NOUN
fbem-26943	37	14	of	of	ADP
fbem-26943	37	15	vix	vix	PROPN
fbem-26943	37	16	pricing	pricing	NOUN
fbem-26943	37	17	accuracy	accuracy	NOUN
fbem-26943	37	18	.	.	PUNCT
fbem-26943	38	1	in	in	ADP
fbem-26943	38	2	this	this	DET
fbem-26943	38	3	paper	paper	NOUN
fbem-26943	38	4	,	,	PUNCT
fbem-26943	38	5	we	we	PRON
fbem-26943	38	6	derive	derive	VERB
fbem-26943	38	7	the	the	DET
fbem-26943	38	8	option	option	NOUN
fbem-26943	38	9	pricing	pricing	NOUN
fbem-26943	38	10	formula	formula	NOUN
fbem-26943	38	11	for	for	ADP
fbem-26943	38	12	the	the	DET
fbem-26943	38	13	regarch	regarch	NOUN
fbem-26943	38	14	framework	framework	NOUN
fbem-26943	38	15	,	,	PUNCT
fbem-26943	38	16	which	which	PRON
fbem-26943	38	17	may	may	AUX
fbem-26943	38	18	result	result	VERB
fbem-26943	38	19	in	in	ADP
fbem-26943	38	20	better	well	ADJ
fbem-26943	38	21	option	option	NOUN
fbem-26943	38	22	pricing	pricing	NOUN
fbem-26943	38	23	performance	performance	NOUN
fbem-26943	38	24	.	.	PUNCT
fbem-26943	39	1	this	this	PRON
fbem-26943	39	2	is	be	AUX
fbem-26943	39	3	because	because	SCONJ
fbem-26943	39	4	regarch	regarch	NOUN
fbem-26943	39	5	framework	framework	NOUN
fbem-26943	39	6	has	have	AUX
fbem-26943	39	7	proven	prove	VERB
fbem-26943	39	8	to	to	PART
fbem-26943	39	9	be	be	AUX
fbem-26943	39	10	superior	superior	ADJ
fbem-26943	39	11	to	to	ADP
fbem-26943	39	12	conventional	conventional	ADJ
fbem-26943	39	13	garch	garch	NOUN
fbem-26943	39	14	models	model	NOUN
fbem-26943	39	15	for	for	ADP
fbem-26943	39	16	the	the	DET
fbem-26943	39	17	modeling	modeling	NOUN
fbem-26943	39	18	of	of	ADP
fbem-26943	39	19	returns	return	NOUN
fbem-26943	39	20	and	and	CCONJ
fbem-26943	39	21	for	for	ADP
fbem-26943	39	22	forecasting	forecasting	NOUN
fbem-26943	39	23	volatility	volatility	NOUN
fbem-26943	39	24	.	.	PUNCT
fbem-26943	40	1	the	the	DET
fbem-26943	40	2	regarch	regarch	NOUN
fbem-26943	40	3	model	model	NOUN
fbem-26943	40	4	allows	allow	VERB
fbem-26943	40	5	for	for	ADP
fbem-26943	40	6	an	an	DET
fbem-26943	40	7	additional	additional	ADJ
fbem-26943	40	8	risk	risk	NOUN
fbem-26943	40	9	premium	premium	NOUN
fbem-26943	40	10	that	that	PRON
fbem-26943	40	11	relates	relate	VERB
fbem-26943	40	12	to	to	ADP
fbem-26943	40	13	volatility	volatility	NOUN
fbem-26943	40	14	shocks	shock	NOUN
fbem-26943	40	15	,	,	PUNCT
fbem-26943	40	16	and	and	CCONJ
fbem-26943	40	17	the	the	DET
fbem-26943	40	18	model	model	NOUN
fbem-26943	40	19	benefits	benefit	NOUN
fbem-26943	40	20	from	from	ADP
fbem-26943	40	21	having	have	VERB
fbem-26943	40	22	both	both	CCONJ
fbem-26943	40	23	return	return	NOUN
fbem-26943	40	24	and	and	CCONJ
fbem-26943	40	25	volatility	volatility	NOUN
fbem-26943	40	26	shocks	shock	NOUN
fbem-26943	40	27	.	.	PUNCT
fbem-26943	41	1	additionally	additionally	ADV
fbem-26943	41	2	,	,	PUNCT
fbem-26943	41	3	the	the	DET
fbem-26943	41	4	measurement	measurement	NOUN
fbem-26943	41	5	equation	equation	NOUN
fbem-26943	41	6	in	in	ADP
fbem-26943	41	7	the	the	DET
fbem-26943	41	8	model	model	NOUN
fbem-26943	41	9	does	do	AUX
fbem-26943	41	10	not	not	PART
fbem-26943	41	11	require	require	VERB
fbem-26943	41	12	the	the	DET
fbem-26943	41	13	realized	realize	VERB
fbem-26943	41	14	measure	measure	NOUN
fbem-26943	41	15	to	to	PART
fbem-26943	41	16	be	be	AUX
fbem-26943	41	17	an	an	DET
fbem-26943	41	18	unbiased	unbiased	ADJ
fbem-26943	41	19	estimator	estimator	NOUN
fbem-26943	41	20	of	of	ADP
fbem-26943	41	21	daily	daily	ADJ
fbem-26943	41	22	volatility	volatility	NOUN
fbem-26943	41	23	.	.	PUNCT
fbem-26943	42	1	unbiased	unbiased	ADJ
fbem-26943	42	2	estimators	estimator	NOUN
fbem-26943	42	3	are	be	AUX
fbem-26943	42	4	difficult	difficult	ADJ
fbem-26943	42	5	to	to	PART
fbem-26943	42	6	obtain	obtain	VERB
fbem-26943	42	7	because	because	SCONJ
fbem-26943	42	8	high	high	ADJ
fbem-26943	42	9	-	-	PUNCT
fbem-26943	42	10	frequency	frequency	NOUN
fbem-26943	42	11	data	datum	NOUN
fbem-26943	42	12	is	be	AUX
fbem-26943	42	13	only	only	ADV
fbem-26943	42	14	available	available	ADJ
fbem-26943	42	15	for	for	ADP
fbem-26943	42	16	a	a	DET
fbem-26943	42	17	fraction	fraction	NOUN
fbem-26943	42	18	of	of	ADP
fbem-26943	42	19	the	the	DET
fbem-26943	42	20	day	day	NOUN
fbem-26943	42	21	.	.	PUNCT
fbem-26943	43	1	market	market	NOUN
fbem-26943	43	2	microstructure	microstructure	NOUN
fbem-26943	43	3	noise	noise	NOUN
fbem-26943	43	4	that	that	PRON
fbem-26943	43	5	is	be	AUX
fbem-26943	43	6	not	not	PART
fbem-26943	43	7	properly	properly	ADV
fbem-26943	43	8	accounted	account	VERB
fbem-26943	43	9	for	for	ADP
fbem-26943	43	10	can	can	AUX
fbem-26943	43	11	also	also	ADV
fbem-26943	43	12	induce	induce	VERB
fbem-26943	43	13	bias	bias	NOUN
fbem-26943	43	14	in	in	ADP
fbem-26943	43	15	realized	realize	VERB
fbem-26943	43	16	measures	measure	NOUN
fbem-26943	43	17	.	.	PUNCT
fbem-26943	44	1	in	in	ADP
fbem-26943	44	2	this	this	DET
fbem-26943	44	3	study	study	NOUN
fbem-26943	44	4	,	,	PUNCT
fbem-26943	44	5	we	we	PRON
fbem-26943	44	6	develop	develop	VERB
fbem-26943	44	7	an	an	DET
fbem-26943	44	8	option	option	NOUN
fbem-26943	44	9	pricing	pricing	NOUN
fbem-26943	44	10	formula	formula	NOUN
fbem-26943	44	11	within	within	ADP
fbem-26943	44	12	the	the	DET
fbem-26943	44	13	regarch	regarch	NOUN
fbem-26943	44	14	framework	framework	NOUN
fbem-26943	44	15	,	,	PUNCT
fbem-26943	44	16	potentially	potentially	ADV
fbem-26943	44	17	enhancing	enhance	VERB
fbem-26943	44	18	the	the	DET
fbem-26943	44	19	354	354	NUM
fbem-26943	44	20	accuracy	accuracy	NOUN
fbem-26943	44	21	of	of	ADP
fbem-26943	44	22	option	option	NOUN
fbem-26943	44	23	pricing	pricing	NOUN
fbem-26943	44	24	.	.	PUNCT
fbem-26943	45	1	the	the	DET
fbem-26943	45	2	regarch	regarch	NOUN
fbem-26943	45	3	framework	framework	NOUN
fbem-26943	45	4	has	have	AUX
fbem-26943	45	5	demonstrated	demonstrate	VERB
fbem-26943	45	6	its	its	PRON
fbem-26943	45	7	effectiveness	effectiveness	NOUN
fbem-26943	45	8	over	over	ADP
fbem-26943	45	9	traditional	traditional	ADJ
fbem-26943	45	10	garch	garch	NOUN
fbem-26943	45	11	models	model	NOUN
fbem-26943	45	12	in	in	ADP
fbem-26943	45	13	capturing	capture	VERB
fbem-26943	45	14	return	return	NOUN
fbem-26943	45	15	dynamics	dynamic	NOUN
fbem-26943	45	16	and	and	CCONJ
fbem-26943	45	17	forecasting	forecasting	NOUN
fbem-26943	45	18	volatility	volatility	NOUN
fbem-26943	45	19	.	.	PUNCT
fbem-26943	46	1	this	this	DET
fbem-26943	46	2	model	model	NOUN
fbem-26943	46	3	accommodates	accommodate	VERB
fbem-26943	46	4	an	an	DET
fbem-26943	46	5	extra	extra	ADJ
fbem-26943	46	6	risk	risk	NOUN
fbem-26943	46	7	premium	premium	NOUN
fbem-26943	46	8	associated	associate	VERB
fbem-26943	46	9	with	with	ADP
fbem-26943	46	10	volatility	volatility	NOUN
fbem-26943	46	11	shocks	shock	NOUN
fbem-26943	46	12	,	,	PUNCT
fbem-26943	46	13	capitalizing	capitalize	VERB
fbem-26943	46	14	on	on	ADP
fbem-26943	46	15	the	the	DET
fbem-26943	46	16	inclusion	inclusion	NOUN
fbem-26943	46	17	of	of	ADP
fbem-26943	46	18	both	both	DET
fbem-26943	46	19	return	return	NOUN
fbem-26943	46	20	and	and	CCONJ
fbem-26943	46	21	volatility	volatility	NOUN
fbem-26943	46	22	shocks	shock	NOUN
fbem-26943	46	23	.	.	PUNCT
fbem-26943	47	1	moreover	moreover	ADV
fbem-26943	47	2	,	,	PUNCT
fbem-26943	47	3	the	the	DET
fbem-26943	47	4	regarch	regarch	NOUN
fbem-26943	47	5	model	model	NOUN
fbem-26943	47	6	does	do	AUX
fbem-26943	47	7	not	not	PART
fbem-26943	47	8	necessitate	necessitate	ADJ
fbem-26943	47	9	that	that	SCONJ
fbem-26943	47	10	the	the	DET
fbem-26943	47	11	realized	realize	VERB
fbem-26943	47	12	measure	measure	NOUN
fbem-26943	47	13	serves	serve	VERB
fbem-26943	47	14	as	as	ADP
fbem-26943	47	15	an	an	DET
fbem-26943	47	16	unbiased	unbiased	ADJ
fbem-26943	47	17	estimator	estimator	NOUN
fbem-26943	47	18	of	of	ADP
fbem-26943	47	19	daily	daily	ADJ
fbem-26943	47	20	volatility	volatility	NOUN
fbem-26943	47	21	,	,	PUNCT
fbem-26943	47	22	which	which	PRON
fbem-26943	47	23	is	be	AUX
fbem-26943	47	24	a	a	DET
fbem-26943	47	25	challenging	challenging	ADJ
fbem-26943	47	26	requirement	requirement	NOUN
fbem-26943	47	27	due	due	ADP
fbem-26943	47	28	to	to	ADP
fbem-26943	47	29	the	the	DET
fbem-26943	47	30	limited	limited	ADJ
fbem-26943	47	31	availability	availability	NOUN
fbem-26943	47	32	of	of	ADP
fbem-26943	47	33	high	high	ADJ
fbem-26943	47	34	-	-	PUNCT
fbem-26943	47	35	frequency	frequency	NOUN
fbem-26943	47	36	data	datum	NOUN
fbem-26943	47	37	throughout	throughout	ADP
fbem-26943	47	38	the	the	DET
fbem-26943	47	39	day	day	NOUN
fbem-26943	47	40	.	.	PUNCT
fbem-26943	48	1	the	the	DET
fbem-26943	48	2	model	model	NOUN
fbem-26943	48	3	also	also	ADV
fbem-26943	48	4	accounts	account	VERB
fbem-26943	48	5	for	for	ADP
fbem-26943	48	6	market	market	NOUN
fbem-26943	48	7	microstructure	microstructure	NOUN
fbem-26943	48	8	noise	noise	NOUN
fbem-26943	48	9	,	,	PUNCT
fbem-26943	48	10	which	which	PRON
fbem-26943	48	11	,	,	PUNCT
fbem-26943	48	12	if	if	SCONJ
fbem-26943	48	13	not	not	PART
fbem-26943	48	14	properly	properly	ADV
fbem-26943	48	15	addressed	address	VERB
fbem-26943	48	16	,	,	PUNCT
fbem-26943	48	17	can	can	AUX
fbem-26943	48	18	lead	lead	VERB
fbem-26943	48	19	to	to	ADP
fbem-26943	48	20	biased	biased	ADJ
fbem-26943	48	21	realized	realize	VERB
fbem-26943	48	22	measures	measure	NOUN
fbem-26943	48	23	.	.	PUNCT
fbem-26943	49	1	in	in	ADP
fbem-26943	49	2	this	this	DET
fbem-26943	49	3	paper	paper	NOUN
fbem-26943	49	4	,	,	PUNCT
fbem-26943	49	5	we	we	PRON
fbem-26943	49	6	conduct	conduct	VERB
fbem-26943	49	7	an	an	DET
fbem-26943	49	8	empirical	empirical	ADJ
fbem-26943	49	9	analysis	analysis	NOUN
fbem-26943	49	10	with	with	ADP
fbem-26943	49	11	s&p	s&p	PROPN
fbem-26943	49	12	500	500	NUM
fbem-26943	49	13	option	option	NOUN
fbem-26943	49	14	prices	price	NOUN
fbem-26943	49	15	.	.	PUNCT
fbem-26943	50	1	the	the	DET
fbem-26943	50	2	data	data	NOUN
fbem-26943	50	3	spans	span	VERB
fbem-26943	50	4	from	from	ADP
fbem-26943	50	5	january	january	PROPN
fbem-26943	50	6	2	2	NUM
fbem-26943	50	7	,	,	PUNCT
fbem-26943	50	8	2019	2019	NUM
fbem-26943	50	9	to	to	ADP
fbem-26943	50	10	december	december	PROPN
fbem-26943	50	11	31	31	NUM
fbem-26943	50	12	,	,	PUNCT
fbem-26943	50	13	2023	2023	NUM
fbem-26943	50	14	.	.	PUNCT
fbem-26943	51	1	we	we	PRON
fbem-26943	51	2	consider	consider	VERB
fbem-26943	51	3	a	a	DET
fbem-26943	51	4	range	range	NOUN
fbem-26943	51	5	of	of	ADP
fbem-26943	51	6	models	model	NOUN
fbem-26943	51	7	in	in	ADP
fbem-26943	51	8	our	our	PRON
fbem-26943	51	9	comparisons	comparison	NOUN
fbem-26943	51	10	,	,	PUNCT
fbem-26943	51	11	including	include	VERB
fbem-26943	51	12	the	the	DET
fbem-26943	51	13	egarch	egarch	NOUN
fbem-26943	51	14	,	,	PUNCT
fbem-26943	51	15	ngarch	ngarch	NOUN
fbem-26943	51	16	and	and	CCONJ
fbem-26943	51	17	gjrgarch	gjrgarch	NOUN
fbem-26943	51	18	.	.	PUNCT
fbem-26943	52	1	and	and	CCONJ
fbem-26943	52	2	the	the	DET
fbem-26943	52	3	regarch	regarch	NOUN
fbem-26943	52	4	model	model	NOUN
fbem-26943	52	5	outperforms	outperform	VERB
fbem-26943	52	6	the	the	DET
fbem-26943	52	7	competing	compete	VERB
fbem-26943	52	8	models	model	NOUN
fbem-26943	52	9	both	both	CCONJ
fbem-26943	52	10	in	in	ADP
fbem-26943	52	11	-	-	PUNCT
fbem-26943	52	12	sample	sample	NOUN
fbem-26943	52	13	and	and	CCONJ
fbem-26943	52	14	out	out	ADP
fbem-26943	52	15	-	-	PUNCT
fbem-26943	52	16	of	of	ADP
fbem-26943	52	17	-	-	PUNCT
fbem-26943	52	18	sample	sample	NOUN
fbem-26943	52	19	.	.	PUNCT
fbem-26943	53	1	the	the	DET
fbem-26943	53	2	main	main	ADJ
fbem-26943	53	3	conclusion	conclusion	NOUN
fbem-26943	53	4	is	be	AUX
fbem-26943	53	5	that	that	SCONJ
fbem-26943	53	6	the	the	DET
fbem-26943	53	7	use	use	NOUN
fbem-26943	53	8	of	of	ADP
fbem-26943	53	9	high	high	ADJ
fbem-26943	53	10	-	-	PUNCT
fbem-26943	53	11	frequency	frequency	NOUN
fbem-26943	53	12	information	information	NOUN
fbem-26943	53	13	greatly	greatly	ADV
fbem-26943	53	14	reduces	reduce	VERB
fbem-26943	53	15	option	option	NOUN
fbem-26943	53	16	pricing	pricing	NOUN
fbem-26943	53	17	errors	error	NOUN
fbem-26943	53	18	.	.	PUNCT
fbem-26943	54	1	the	the	DET
fbem-26943	54	2	results	result	NOUN
fbem-26943	54	3	highlight	highlight	VERB
fbem-26943	54	4	the	the	DET
fbem-26943	54	5	empirical	empirical	ADJ
fbem-26943	54	6	gains	gain	NOUN
fbem-26943	54	7	on	on	ADP
fbem-26943	54	8	a	a	DET
fbem-26943	54	9	non	non	ADJ
fbem-26943	54	10	-	-	ADJ
fbem-26943	54	11	affine	affine	ADJ
fbem-26943	54	12	model	model	NOUN
fbem-26943	54	13	with	with	ADP
fbem-26943	54	14	leverage	leverage	NOUN
fbem-26943	54	15	effect	effect	NOUN
fbem-26943	54	16	and	and	CCONJ
fbem-26943	54	17	reinforce	reinforce	VERB
fbem-26943	54	18	the	the	DET
fbem-26943	54	19	existing	exist	VERB
fbem-26943	54	20	literature	literature	NOUN
fbem-26943	54	21	on	on	ADP
fbem-26943	54	22	the	the	DET
fbem-26943	54	23	importance	importance	NOUN
fbem-26943	54	24	of	of	ADP
fbem-26943	54	25	including	include	VERB
fbem-26943	54	26	realized	realize	VERB
fbem-26943	54	27	measures	measure	NOUN
fbem-26943	54	28	into	into	ADP
fbem-26943	54	29	option	option	NOUN
fbem-26943	54	30	pricing	pricing	NOUN
fbem-26943	54	31	.	.	PUNCT
fbem-26943	55	1	in	in	ADP
fbem-26943	55	2	this	this	DET
fbem-26943	55	3	research	research	NOUN
fbem-26943	55	4	,	,	PUNCT
fbem-26943	55	5	we	we	PRON
fbem-26943	55	6	perform	perform	VERB
fbem-26943	55	7	an	an	DET
fbem-26943	55	8	empirical	empirical	ADJ
fbem-26943	55	9	study	study	NOUN
fbem-26943	55	10	utilizing	utilize	VERB
fbem-26943	55	11	s&p	s&p	PROPN
fbem-26943	55	12	500	500	NUM
fbem-26943	55	13	option	option	NOUN
fbem-26943	55	14	pricing	pricing	NOUN
fbem-26943	55	15	data	datum	NOUN
fbem-26943	55	16	from	from	ADP
fbem-26943	55	17	january	january	PROPN
fbem-26943	55	18	2	2	NUM
fbem-26943	55	19	,	,	PUNCT
fbem-26943	55	20	2019	2019	NUM
fbem-26943	55	21	,	,	PUNCT
fbem-26943	55	22	to	to	ADP
fbem-26943	55	23	december	december	PROPN
fbem-26943	55	24	31	31	NUM
fbem-26943	55	25	,	,	PUNCT
fbem-26943	55	26	2023	2023	NUM
fbem-26943	55	27	.	.	PUNCT
fbem-26943	56	1	our	our	PRON
fbem-26943	56	2	analysis	analysis	NOUN
fbem-26943	56	3	encompasses	encompass	VERB
fbem-26943	56	4	a	a	DET
fbem-26943	56	5	variety	variety	NOUN
fbem-26943	56	6	of	of	ADP
fbem-26943	56	7	models	model	NOUN
fbem-26943	56	8	,	,	PUNCT
fbem-26943	56	9	such	such	ADJ
fbem-26943	56	10	as	as	ADP
fbem-26943	56	11	the	the	DET
fbem-26943	56	12	egarch	egarch	NOUN
fbem-26943	56	13	,	,	PUNCT
fbem-26943	56	14	ngarch	ngarch	NOUN
fbem-26943	56	15	,	,	PUNCT
fbem-26943	56	16	and	and	CCONJ
fbem-26943	56	17	gjr	gjr	NOUN
fbem-26943	56	18	-	-	PUNCT
fbem-26943	56	19	garch	garch	NOUN
fbem-26943	56	20	,	,	PUNCT
fbem-26943	56	21	in	in	ADP
fbem-26943	56	22	our	our	PRON
fbem-26943	56	23	comparative	comparative	ADJ
fbem-26943	56	24	evaluation	evaluation	NOUN
fbem-26943	56	25	.	.	PUNCT
fbem-26943	57	1	the	the	DET
fbem-26943	57	2	regarch	regarch	NOUN
fbem-26943	57	3	model	model	NOUN
fbem-26943	57	4	surpasses	surpass	VERB
fbem-26943	57	5	these	these	DET
fbem-26943	57	6	alternative	alternative	ADJ
fbem-26943	57	7	models	model	NOUN
fbem-26943	57	8	in	in	ADP
fbem-26943	57	9	both	both	PRON
fbem-26943	57	10	in	in	ADP
fbem-26943	57	11	-	-	PUNCT
fbem-26943	57	12	sample	sample	NOUN
fbem-26943	57	13	and	and	CCONJ
fbem-26943	57	14	outof	outof	PROPN
fbem-26943	57	15	-	-	PUNCT
fbem-26943	57	16	sample	sample	NOUN
fbem-26943	57	17	tests	test	NOUN
fbem-26943	57	18	.	.	PUNCT
fbem-26943	58	1	the	the	DET
fbem-26943	58	2	main	main	ADJ
fbem-26943	58	3	finding	finding	NOUN
fbem-26943	58	4	is	be	AUX
fbem-26943	58	5	that	that	SCONJ
fbem-26943	58	6	incorporating	incorporate	VERB
fbem-26943	58	7	highfrequency	highfrequency	NOUN
fbem-26943	58	8	data	datum	NOUN
fbem-26943	58	9	significantly	significantly	ADV
fbem-26943	58	10	diminishes	diminish	VERB
fbem-26943	58	11	the	the	DET
fbem-26943	58	12	discrepancies	discrepancy	NOUN
fbem-26943	58	13	in	in	ADP
fbem-26943	58	14	option	option	NOUN
fbem-26943	58	15	pricing	pricing	NOUN
fbem-26943	58	16	.	.	PUNCT
fbem-26943	59	1	the	the	DET
fbem-26943	59	2	outcomes	outcome	NOUN
fbem-26943	59	3	underscore	underscore	VERB
fbem-26943	59	4	the	the	DET
fbem-26943	59	5	empirical	empirical	ADJ
fbem-26943	59	6	advantages	advantage	NOUN
fbem-26943	59	7	of	of	ADP
fbem-26943	59	8	employing	employ	VERB
fbem-26943	59	9	a	a	DET
fbem-26943	59	10	non	non	ADJ
fbem-26943	59	11	-	-	ADJ
fbem-26943	59	12	affine	affine	ADJ
fbem-26943	59	13	model	model	NOUN
fbem-26943	59	14	that	that	PRON
fbem-26943	59	15	accounts	account	VERB
fbem-26943	59	16	for	for	ADP
fbem-26943	59	17	the	the	DET
fbem-26943	59	18	leverage	leverage	NOUN
fbem-26943	59	19	effect	effect	NOUN
fbem-26943	59	20	,	,	PUNCT
fbem-26943	59	21	thereby	thereby	ADV
fbem-26943	59	22	reinforce	reinforce	VERB
fbem-26943	59	23	the	the	DET
fbem-26943	59	24	existing	exist	VERB
fbem-26943	59	25	literature	literature	NOUN
fbem-26943	59	26	on	on	ADP
fbem-26943	59	27	realized	realize	VERB
fbem-26943	59	28	measures	measure	NOUN
fbem-26943	59	29	in	in	ADP
fbem-26943	59	30	the	the	DET
fbem-26943	59	31	pricing	pricing	NOUN
fbem-26943	59	32	of	of	ADP
fbem-26943	59	33	options	option	NOUN
fbem-26943	59	34	.	.	PUNCT
fbem-26943	60	1	the	the	DET
fbem-26943	60	2	remainder	remainder	NOUN
fbem-26943	60	3	of	of	ADP
fbem-26943	60	4	the	the	DET
fbem-26943	60	5	paper	paper	NOUN
fbem-26943	60	6	is	be	AUX
fbem-26943	60	7	organized	organize	VERB
fbem-26943	60	8	as	as	SCONJ
fbem-26943	60	9	follows	follow	VERB
fbem-26943	60	10	:	:	PUNCT
fbem-26943	60	11	section	section	NOUN
fbem-26943	60	12	2	2	NUM
fbem-26943	60	13	introduces	introduce	VERB
fbem-26943	60	14	the	the	DET
fbem-26943	60	15	regarch	regarch	NOUN
fbem-26943	60	16	model	model	NOUN
fbem-26943	60	17	,	,	PUNCT
fbem-26943	60	18	the	the	DET
fbem-26943	60	19	competing	compete	VERB
fbem-26943	60	20	models	model	NOUN
fbem-26943	60	21	,	,	PUNCT
fbem-26943	60	22	and	and	CCONJ
fbem-26943	60	23	option	option	NOUN
fbem-26943	60	24	valuation	valuation	NOUN
fbem-26943	60	25	;	;	PUNCT
fbem-26943	60	26	section	section	NOUN
fbem-26943	60	27	3	3	NUM
fbem-26943	60	28	discusses	discuss	VERB
fbem-26943	60	29	the	the	DET
fbem-26943	60	30	estimation	estimation	NOUN
fbem-26943	60	31	method	method	NOUN
fbem-26943	60	32	and	and	CCONJ
fbem-26943	60	33	the	the	DET
fbem-26943	60	34	empirical	empirical	ADJ
fbem-26943	60	35	results	result	NOUN
fbem-26943	60	36	,	,	PUNCT
fbem-26943	60	37	including	include	VERB
fbem-26943	60	38	in	in	ADP
fbem-26943	60	39	-	-	PUNCT
fbem-26943	60	40	sample	sample	NOUN
fbem-26943	60	41	and	and	CCONJ
fbem-26943	60	42	out	out	ADP
fbem-26943	60	43	-	-	PUNCT
fbem-26943	60	44	of	of	ADP
fbem-26943	60	45	-	-	PUNCT
fbem-26943	60	46	sample	sample	NOUN
fbem-26943	60	47	;	;	PUNCT
fbem-26943	60	48	and	and	CCONJ
fbem-26943	60	49	section	section	NOUN
fbem-26943	60	50	5	5	NUM
fbem-26943	60	51	concludes	conclude	VERB
fbem-26943	60	52	.	.	PUNCT
fbem-26943	61	1	2	2	X
fbem-26943	61	2	.	.	X
fbem-26943	61	3	methodology	methodology	NOUN
fbem-26943	61	4	2.1	2.1	NUM
fbem-26943	61	5	.	.	PUNCT
fbem-26943	62	1	regarch	regarch	NOUN
fbem-26943	62	2	model	model	NOUN
fbem-26943	62	3	to	to	PART
fbem-26943	62	4	describe	describe	VERB
fbem-26943	62	5	the	the	DET
fbem-26943	62	6	dynamics	dynamic	NOUN
fbem-26943	62	7	of	of	ADP
fbem-26943	62	8	the	the	DET
fbem-26943	62	9	underlying	underlie	VERB
fbem-26943	62	10	asset	asset	NOUN
fbem-26943	62	11	returns	return	NOUN
fbem-26943	62	12	under	under	ADP
fbem-26943	62	13	physical	physical	ADJ
fbem-26943	62	14	measure	measure	NOUN
fbem-26943	62	15	,	,	PUNCT
fbem-26943	62	16	we	we	PRON
fbem-26943	62	17	consider	consider	VERB
fbem-26943	62	18	the	the	DET
fbem-26943	62	19	following	follow	VERB
fbem-26943	62	20	specification	specification	NOUN
fbem-26943	62	21	of	of	ADP
fbem-26943	62	22	the	the	DET
fbem-26943	62	23	regarch	regarch	NOUN
fbem-26943	62	24	model	model	NOUN
fbem-26943	62	25	,	,	PUNCT
fbem-26943	62	26	1	1	NUM
fbem-26943	62	27	1	1	NUM
fbem-26943	62	28	1	1	NUM
fbem-26943	62	29	1	1	NUM
fbem-26943	62	30	1	1	NUM
fbem-26943	62	31	1	1	NUM
fbem-26943	62	32	log	log	NOUN
fbem-26943	62	33	1	1	NUM
fbem-26943	62	34	,	,	PUNCT
fbem-26943	62	35	2	2	NUM
fbem-26943	62	36	t	t	NOUN
fbem-26943	62	37	t	t	NOUN
fbem-26943	62	38	t	t	PROPN
fbem-26943	62	39	t	t	PROPN
fbem-26943	62	40	t	t	PROPN
fbem-26943	62	41	t	t	PROPN
fbem-26943	62	42	t	t	PROPN
fbem-26943	62	43	s	s	PART
fbem-26943	63	1	r	r	NOUN
fbem-26943	63	2	s	s	NOUN
fbem-26943	63	3	r	r	NOUN
fbem-26943	63	4	h	h	NOUN
fbem-26943	63	5	h	h	NOUN
fbem-26943	63	6	h	h	NOUN
fbem-26943	63	7	z	z	PROPN
fbem-26943	64	1	+	+	CCONJ
fbem-26943	65	1	+	+	PUNCT
fbem-26943	66	1	+	+	PUNCT
fbem-26943	66	2	+	+	PUNCT
fbem-26943	66	3	+	+	CCONJ
fbem-26943	66	4	+	+	NUM
fbem-26943	66	5			NOUN
fbem-26943	66	6			NOUN
fbem-26943	66	7			PROPN
fbem-26943	66	8			PROPN
fbem-26943	66	9			PROPN
fbem-26943	66	10			PROPN
fbem-26943	66	11			NOUN
fbem-26943	66	12	=	=	PUNCT
fbem-26943	66	13	+	+	CCONJ
fbem-26943	66	14	−	−	PROPN
fbem-26943	66	15	+	+	CCONJ
fbem-26943	66	16	(	(	PUNCT
fbem-26943	66	17	1	1	NUM
fbem-26943	66	18	)	)	SYM
fbem-26943	66	19	1	1	NUM
fbem-26943	66	20	1	1	NUM
fbem-26943	66	21	2	2	NUM
fbem-26943	66	22	2	2	NUM
fbem-26943	66	23	log	log	NOUN
fbem-26943	66	24	log	log	NOUN
fbem-26943	66	25	(	(	PUNCT
fbem-26943	66	26	,	,	PUNCT
fbem-26943	66	27	1	1	X
fbem-26943	66	28	)	)	PUNCT
fbem-26943	66	29	t	t	NOUN
fbem-26943	66	30	t	t	PROPN
fbem-26943	66	31	t	t	PROPN
fbem-26943	66	32	t	t	PROPN
fbem-26943	66	33	u	u	NOUN
fbem-26943	66	34	t	t	PROPN
fbem-26943	66	35	h	h	NOUN
fbem-26943	67	1	h	h	NOUN
fbem-26943	67	2	z	z	NOUN
fbem-26943	67	3	z	z	NOUN
fbem-26943	67	4	u	u	NOUN
fbem-26943	67	5			PROPN
fbem-26943	67	6			PROPN
fbem-26943	67	7			NOUN
fbem-26943	67	8			NOUN
fbem-26943	67	9			NOUN
fbem-26943	67	10	+	+	CCONJ
fbem-26943	67	11	=	=	PUNCT
fbem-26943	68	1	+	+	PUNCT
fbem-26943	68	2	+	+	CCONJ
fbem-26943	69	1	+	+	CCONJ
fbem-26943	69	2	−	−	X
fbem-26943	69	3	+	+	CCONJ
fbem-26943	69	4	(	(	PUNCT
fbem-26943	69	5	2	2	NUM
fbem-26943	69	6	)	)	SYM
fbem-26943	69	7	1	1	NUM
fbem-26943	69	8	2	2	NUM
fbem-26943	69	9	2	2	NUM
fbem-26943	69	10	log	log	NOUN
fbem-26943	69	11	log	log	NOUN
fbem-26943	69	12	(	(	PUNCT
fbem-26943	69	13	1	1	NUM
fbem-26943	69	14	,	,	PUNCT
fbem-26943	69	15	)	)	PUNCT
fbem-26943	70	1	t	t	PROPN
fbem-26943	70	2	t	t	PROPN
fbem-26943	70	3	t	t	PROPN
fbem-26943	70	4	t	t	PROPN
fbem-26943	70	5	u	u	NOUN
fbem-26943	70	6	t	t	PROPN
fbem-26943	70	7	x	x	PUNCT
fbem-26943	70	8	h	h	NOUN
fbem-26943	71	1	d	d	NOUN
fbem-26943	71	2	z	z	NOUN
fbem-26943	72	1	d	d	X
fbem-26943	72	2	z	z	NOUN
fbem-26943	72	3	u	u	NOUN
fbem-26943	72	4			NOUN
fbem-26943	72	5			NOUN
fbem-26943	72	6			X
fbem-26943	72	7	=	=	SYM
fbem-26943	73	1	+	+	PUNCT
fbem-26943	73	2	+	+	PUNCT
fbem-26943	74	1	+	+	CCONJ
fbem-26943	74	2	−	−	X
fbem-26943	74	3	+	+	CCONJ
fbem-26943	74	4	(	(	PUNCT
fbem-26943	74	5	3	3	NUM
fbem-26943	74	6	)	)	PUNCT
fbem-26943	74	7	where	where	SCONJ
fbem-26943	74	8	1	1	NUM
fbem-26943	74	9	t	t	NOUN
fbem-26943	74	10	r	r	NOUN
fbem-26943	74	11	+	+	NOUN
fbem-26943	74	12	denotes	denote	VERB
fbem-26943	74	13	the	the	DET
fbem-26943	74	14	log	log	NOUN
fbem-26943	74	15	-	-	PUNCT
fbem-26943	74	16	return	return	NOUN
fbem-26943	74	17	on	on	ADP
fbem-26943	74	18	day	day	NOUN
fbem-26943	74	19	1	1	NUM
fbem-26943	74	20	t	t	NOUN
fbem-26943	74	21	+	+	X
fbem-26943	74	22	,	,	PUNCT
fbem-26943	74	23	t	t	PROPN
fbem-26943	74	24	s	s	PART
fbem-26943	74	25	is	be	AUX
fbem-26943	74	26	the	the	DET
fbem-26943	74	27	price	price	NOUN
fbem-26943	74	28	of	of	ADP
fbem-26943	74	29	underlying	underlie	VERB
fbem-26943	74	30	asset	asset	NOUN
fbem-26943	74	31	on	on	ADP
fbem-26943	74	32	day	day	NOUN
fbem-26943	74	33	t	t	NOUN
fbem-26943	74	34	.	.	PUNCT
fbem-26943	75	1	r	r	NOUN
fbem-26943	75	2	is	be	AUX
fbem-26943	75	3	the	the	DET
fbem-26943	75	4	risk	risk	NOUN
fbem-26943	75	5	-	-	PUNCT
fbem-26943	75	6	free	free	ADJ
fbem-26943	75	7	interest	interest	NOUN
fbem-26943	75	8	rate	rate	NOUN
fbem-26943	75	9	,	,	PUNCT
fbem-26943	75	10	and	and	CCONJ
fbem-26943	75	11			ADJ
fbem-26943	75	12	is	be	AUX
fbem-26943	75	13	the	the	DET
fbem-26943	75	14	equity	equity	NOUN
fbem-26943	75	15	risk	risk	NOUN
fbem-26943	75	16	premium	premium	NOUN
fbem-26943	75	17	parameter	parameter	NOUN
fbem-26943	75	18	.	.	PUNCT
fbem-26943	76	1	1	1	NUM
fbem-26943	76	2	var	var	NOUN
fbem-26943	76	3	(	(	PUNCT
fbem-26943	76	4	)	)	PUNCT
fbem-26943	76	5	t	t	PROPN
fbem-26943	76	6	t	t	PROPN
fbem-26943	76	7	t	t	PROPN
fbem-26943	76	8	rh	rh	PROPN
fbem-26943	76	9	−	−	PROPN
fbem-26943	76	10	=	=	PUNCT
fbem-26943	77	1	p	p	NOUN
fbem-26943	77	2	denotes	denote	VERB
fbem-26943	77	3	the	the	DET
fbem-26943	77	4	conditional	conditional	ADJ
fbem-26943	77	5	variance	variance	NOUN
fbem-26943	77	6	of	of	ADP
fbem-26943	77	7	return	return	NOUN
fbem-26943	77	8	on	on	ADP
fbem-26943	77	9	day	day	NOUN
fbem-26943	77	10	t	t	NOUN
fbem-26943	77	11	,	,	PUNCT
fbem-26943	77	12	and	and	CCONJ
fbem-26943	77	13	t	t	NOUN
fbem-26943	77	14	x	x	VERB
fbem-26943	77	15	is	be	AUX
fbem-26943	77	16	the	the	DET
fbem-26943	77	17	realized	realize	VERB
fbem-26943	77	18	measure	measure	NOUN
fbem-26943	77	19	of	of	ADP
fbem-26943	77	20	volatility	volatility	NOUN
fbem-26943	77	21	.	.	PUNCT
fbem-26943	78	1	the	the	DET
fbem-26943	78	2	shocks	shock	NOUN
fbem-26943	78	3	of	of	ADP
fbem-26943	78	4	return	return	NOUN
fbem-26943	78	5	follow	follow	VERB
fbem-26943	78	6	standard	standard	ADJ
fbem-26943	78	7	normal	normal	ADJ
fbem-26943	78	8	distributions	distribution	NOUN
fbem-26943	78	9	,	,	PUNCT
fbem-26943	78	10	that	that	ADV
fbem-26943	78	11	is	be	AUX
fbem-26943	78	12	,	,	PUNCT
fbem-26943	78	13	~	~	PUNCT
fbem-26943	78	14	.	.	PUNCT
fbem-26943	78	15	.	.	PUNCT
fbem-26943	78	16	.	.	PUNCT
fbem-26943	79	1	(	(	PUNCT
fbem-26943	79	2	0,1	0,1	NUM
fbem-26943	79	3	)	)	PUNCT
fbem-26943	79	4	t	t	NOUN
fbem-26943	80	1	i	i	PRON
fbem-26943	80	2	i	i	INTJ
fbem-26943	81	1	d	d	NOUN
fbem-26943	81	2	nz	nz	NOUN
fbem-26943	81	3	and	and	CCONJ
fbem-26943	81	4	~	~	PUNCT
fbem-26943	81	5	.	.	PUNCT
fbem-26943	81	6	.	.	PUNCT
fbem-26943	82	1	.	.	PUNCT
fbem-26943	83	1	(	(	PUNCT
fbem-26943	83	2	0,1	0,1	NUM
fbem-26943	83	3	)	)	PUNCT
fbem-26943	83	4	t	t	NOUN
fbem-26943	84	1	i	i	PRON
fbem-26943	84	2	i	i	INTJ
fbem-26943	85	1	d	d	NOUN
fbem-26943	85	2	nu	nu	INTJ
fbem-26943	85	3	.	.	PUNCT
fbem-26943	86	1	we	we	PRON
fbem-26943	86	2	specify	specify	VERB
fbem-26943	86	3	t	t	PROPN
fbem-26943	86	4	u	u	NOUN
fbem-26943	86	5	to	to	PART
fbem-26943	86	6	be	be	AUX
fbem-26943	86	7	independent	independent	ADJ
fbem-26943	86	8	of	of	ADP
fbem-26943	86	9	t	t	PROPN
fbem-26943	86	10	z	z	PROPN
fbem-26943	86	11	,	,	PUNCT
fbem-26943	86	12	(	(	PUNCT
fbem-26943	86	13	,	,	PUNCT
fbem-26943	86	14	)	)	PUNCT
fbem-26943	86	15	0	0	NUM
fbem-26943	87	1	t	t	NOUN
fbem-26943	87	2	t	t	PROPN
fbem-26943	87	3	corr	corr	PROPN
fbem-26943	87	4	z	z	PROPN
fbem-26943	87	5	u	u	PROPN
fbem-26943	87	6	=	=	PUNCT
fbem-26943	87	7	.	.	PUNCT
fbem-26943	88	1	the	the	DET
fbem-26943	88	2	leverage	leverage	NOUN
fbem-26943	88	3	functions	function	NOUN
fbem-26943	88	4	,	,	PUNCT
fbem-26943	88	5	2	2	NUM
fbem-26943	88	6	1	1	NUM
fbem-26943	88	7	2	2	NUM
fbem-26943	88	8	(	(	PUNCT
fbem-26943	88	9	1	1	NUM
fbem-26943	88	10	)	)	PUNCT
fbem-26943	88	11	t	t	NOUN
fbem-26943	88	12	t	t	NOUN
fbem-26943	88	13	z	z	NOUN
fbem-26943	88	14	z	z	VERB
fbem-26943	88	15	+	+	PRON
fbem-26943	88	16	−	−	NOUN
fbem-26943	88	17	and	and	CCONJ
fbem-26943	88	18	2	2	NUM
fbem-26943	88	19	1	1	NUM
fbem-26943	88	20	2	2	NUM
fbem-26943	88	21	(	(	PUNCT
fbem-26943	88	22	1	1	NUM
fbem-26943	88	23	)	)	PUNCT
fbem-26943	88	24	t	t	NOUN
fbem-26943	88	25	t	t	NOUN
fbem-26943	89	1	d	d	X
fbem-26943	89	2	z	z	PROPN
fbem-26943	89	3	d	d	PROPN
fbem-26943	89	4	z+	z+	NUM
fbem-26943	89	5	−	−	PROPN
fbem-26943	89	6	,	,	PUNCT
fbem-26943	89	7	capture	capture	VERB
fbem-26943	89	8	the	the	DET
fbem-26943	89	9	leverage	leverage	NOUN
fbem-26943	89	10	effect	effect	NOUN
fbem-26943	89	11	.	.	PUNCT
fbem-26943	90	1	the	the	DET
fbem-26943	90	2	model	model	NOUN
fbem-26943	90	3	has	have	VERB
fbem-26943	90	4	two	two	NUM
fbem-26943	90	5	characteristics	characteristic	NOUN
fbem-26943	90	6	:	:	PUNCT
fbem-26943	90	7	first	first	ADV
fbem-26943	90	8	,	,	PUNCT
fbem-26943	90	9	the	the	DET
fbem-26943	90	10	regarch	regarch	NOUN
fbem-26943	90	11	model	model	NOUN
fbem-26943	90	12	has	have	VERB
fbem-26943	90	13	a	a	DET
fbem-26943	90	14	key	key	ADJ
fbem-26943	90	15	feature	feature	NOUN
fbem-26943	90	16	of	of	ADP
fbem-26943	90	17	a	a	DET
fbem-26943	90	18	stochastic	stochastic	ADJ
fbem-26943	90	19	volatility	volatility	NOUN
fbem-26943	90	20	model	model	NOUN
fbem-26943	90	21	,	,	PUNCT
fbem-26943	90	22	that	that	ADV
fbem-26943	90	23	is	is	ADV
fbem-26943	90	24	,	,	PUNCT
fbem-26943	90	25	it	it	PRON
fbem-26943	90	26	has	have	VERB
fbem-26943	90	27	an	an	DET
fbem-26943	90	28	innovation	innovation	NOUN
fbem-26943	90	29	t	t	X
fbem-26943	90	30	u	u	NOUN
fbem-26943	90	31	directly	directly	ADV
fbem-26943	90	32	related	relate	VERB
fbem-26943	90	33	to	to	ADP
fbem-26943	90	34	volatility	volatility	NOUN
fbem-26943	90	35	,	,	PUNCT
fbem-26943	90	36	and	and	CCONJ
fbem-26943	90	37	the	the	DET
fbem-26943	90	38	model	model	NOUN
fbem-26943	90	39	is	be	AUX
fbem-26943	90	40	easier	easy	ADJ
fbem-26943	90	41	to	to	PART
fbem-26943	90	42	estimate	estimate	VERB
fbem-26943	90	43	due	due	ADP
fbem-26943	90	44	to	to	ADP
fbem-26943	90	45	the	the	DET
fbem-26943	90	46	observation	observation	NOUN
fbem-26943	90	47	-	-	PUNCT
fbem-26943	90	48	driven	drive	VERB
fbem-26943	90	49	framework	framework	NOUN
fbem-26943	90	50	.	.	PUNCT
fbem-26943	91	1	second	second	ADJ
fbem-26943	91	2	,	,	PUNCT
fbem-26943	91	3	there	there	PRON
fbem-26943	91	4	is	be	VERB
fbem-26943	91	5	fewer	few	ADJ
fbem-26943	91	6	parameter	parameter	NOUN
fbem-26943	91	7	restrictions	restriction	NOUN
fbem-26943	91	8	of	of	ADP
fbem-26943	91	9	regarch	regarch	NOUN
fbem-26943	91	10	model	model	NOUN
fbem-26943	91	11	than	than	ADP
fbem-26943	91	12	other	other	ADJ
fbem-26943	91	13	discrete	discrete	ADJ
fbem-26943	91	14	models	model	NOUN
fbem-26943	91	15	that	that	PRON
fbem-26943	91	16	use	use	VERB
fbem-26943	91	17	realized	realize	VERB
fbem-26943	91	18	variance	variance	NOUN
fbem-26943	91	19	for	for	ADP
fbem-26943	91	20	option	option	NOUN
fbem-26943	91	21	pricing	pricing	NOUN
fbem-26943	91	22	,	,	PUNCT
fbem-26943	91	23	which	which	PRON
fbem-26943	91	24	greatly	greatly	ADV
fbem-26943	91	25	simplifies	simplify	VERB
fbem-26943	91	26	the	the	DET
fbem-26943	91	27	estimation	estimation	NOUN
fbem-26943	91	28	process	process	NOUN
fbem-26943	91	29	.	.	PUNCT
fbem-26943	92	1	2.2	2.2	NUM
fbem-26943	92	2	.	.	PUNCT
fbem-26943	92	3	risk	risk	NOUN
fbem-26943	92	4	neutralization	neutralization	NOUN
fbem-26943	92	5	for	for	ADP
fbem-26943	92	6	the	the	DET
fbem-26943	92	7	purpose	purpose	NOUN
fbem-26943	92	8	of	of	ADP
fbem-26943	92	9	option	option	NOUN
fbem-26943	92	10	pricing	pricing	NOUN
fbem-26943	92	11	,	,	PUNCT
fbem-26943	92	12	we	we	PRON
fbem-26943	92	13	need	need	VERB
fbem-26943	92	14	to	to	PART
fbem-26943	92	15	derive	derive	VERB
fbem-26943	92	16	the	the	DET
fbem-26943	92	17	risk	risk	NOUN
fbem-26943	92	18	-	-	PUNCT
fbem-26943	92	19	neutral	neutral	ADJ
fbem-26943	92	20	dynamics	dynamic	NOUN
fbem-26943	92	21	of	of	ADP
fbem-26943	92	22	the	the	DET
fbem-26943	92	23	regarch	regarch	NOUN
fbem-26943	92	24	model	model	NOUN
fbem-26943	92	25	.	.	PUNCT
fbem-26943	93	1	following	follow	VERB
fbem-26943	93	2	christoffersen	christoffersen	VERB
fbem-26943	93	3	et	et	NOUN
fbem-26943	93	4	al	al	PROPN
fbem-26943	93	5	.	.	PUNCT
fbem-26943	94	1	[	[	X
fbem-26943	94	2	16	16	NUM
fbem-26943	94	3	]	]	PUNCT
fbem-26943	94	4	and	and	CCONJ
fbem-26943	94	5	huang	huang	PROPN
fbem-26943	94	6	et	et	PROPN
fbem-26943	94	7	al	al	PROPN
fbem-26943	94	8	.	.	PUNCT
fbem-26943	95	1	[	[	X
fbem-26943	95	2	17	17	NUM
fbem-26943	95	3	]	]	PUNCT
fbem-26943	95	4	,	,	PUNCT
fbem-26943	95	5	we	we	PRON
fbem-26943	95	6	apply	apply	VERB
fbem-26943	95	7	the	the	DET
fbem-26943	95	8	exponential	exponential	ADJ
fbem-26943	95	9	affine	affine	NOUN
fbem-26943	95	10	pricing	pricing	NOUN
fbem-26943	95	11	kernel	kernel	NOUN
fbem-26943	95	12	:	:	PUNCT
fbem-26943	95	13	1	1	NUM
fbem-26943	95	14	,	,	PUNCT
fbem-26943	95	15	1	1	NUM
fbem-26943	95	16	2	2	NUM
fbem-26943	95	17	,	,	PUNCT
fbem-26943	95	18	1	1	NUM
fbem-26943	95	19	1	1	NUM
fbem-26943	95	20	1	1	NUM
fbem-26943	95	21	,	,	PUNCT
fbem-26943	95	22	1	1	NUM
fbem-26943	95	23	1	1	NUM
fbem-26943	95	24	2	2	NUM
fbem-26943	95	25	2	2	NUM
fbem-26943	95	26	1	1	NUM
fbem-26943	95	27	,	,	PUNCT
fbem-26943	95	28	2	2	NUM
fbem-26943	95	29	,	,	PUNCT
fbem-26943	95	30	1	1	NUM
fbem-26943	95	31	2	2	NUM
fbem-26943	95	32	,	,	PUNCT
fbem-26943	95	33	,	,	PUNCT
fbem-26943	95	34	1	1	NUM
fbem-26943	95	35	2	2	NUM
fbem-26943	95	36	,	,	PUNCT
fbem-26943	95	37	1	1	NUM
fbem-26943	95	38	exp	exp	NOUN
fbem-26943	95	39	(	(	PUNCT
fbem-26943	95	40	)	)	PUNCT
fbem-26943	96	1	[	[	X
fbem-26943	96	2	exp	exp	NOUN
fbem-26943	96	3	(	(	PUNCT
fbem-26943	96	4	)	)	PUNCT
fbem-26943	96	5	]	]	PUNCT
fbem-26943	96	6	exp	exp	NOUN
fbem-26943	96	7	,	,	PUNCT
fbem-26943	96	8	2	2	NUM
fbem-26943	96	9	2	2	NUM
fbem-26943	96	10	t	t	NOUN
fbem-26943	96	11	t	t	NOUN
fbem-26943	96	12	t	t	PROPN
fbem-26943	96	13	t	t	PROPN
fbem-26943	96	14	t	t	PROPN
fbem-26943	96	15	t	t	PROPN
fbem-26943	96	16	t	t	PROPN
fbem-26943	96	17	t	t	PROPN
fbem-26943	96	18	t	t	PROPN
fbem-26943	96	19	t	t	PROPN
fbem-26943	96	20	t	t	PROPN
fbem-26943	96	21	t	t	PROPN
fbem-26943	96	22	t	t	PROPN
fbem-26943	96	23	t	t	PROPN
fbem-26943	96	24	t	t	PROPN
fbem-26943	96	25	t	t	PROPN
fbem-26943	96	26	z	z	PROPN
fbem-26943	96	27	u	u	PROPN
fbem-26943	96	28	z	z	PROPN
fbem-26943	96	29	u	u	PROPN
fbem-26943	96	30	z	z	PROPN
fbem-26943	96	31	u	u	NOUN
fbem-26943	96	32			INTJ
fbem-26943	96	33			NOUN
fbem-26943	96	34			PROPN
fbem-26943	96	35			PROPN
fbem-26943	96	36			PROPN
fbem-26943	96	37			PROPN
fbem-26943	96	38			PROPN
fbem-26943	96	39			PROPN
fbem-26943	96	40			PROPN
fbem-26943	97	1	+	+	CCONJ
fbem-26943	98	1	+	+	PUNCT
fbem-26943	98	2	+	+	PUNCT
fbem-26943	98	3	+	+	PUNCT
fbem-26943	98	4	+	+	PUNCT
fbem-26943	98	5	+	+	PUNCT
fbem-26943	98	6	+	+	PUNCT
fbem-26943	98	7	=	=	SYM
fbem-26943	98	8	+	+	CCONJ
fbem-26943	98	9	+	+	NUM
fbem-26943	98	10			NOUN
fbem-26943	98	11			NOUN
fbem-26943	98	12	=	=	PUNCT
fbem-26943	99	1	+	+	NUM
fbem-26943	100	1	−	−	PROPN
fbem-26943	100	2	−	−	PROPN
fbem-26943	100	3			NOUN
fbem-26943	100	4			CCONJ
fbem-26943	101	1			PROPN
fbem-26943	101	2			NOUN
fbem-26943	101	3	p	p	X
fbem-26943	101	4	e	e	X
fbem-26943	101	5	(	(	PUNCT
fbem-26943	101	6	4	4	NUM
fbem-26943	101	7	)	)	PUNCT
fbem-26943	101	8	where	where	SCONJ
fbem-26943	101	9	1,t	1,t	NUM
fbem-26943	101	10			NOUN
fbem-26943	101	11	and	and	CCONJ
fbem-26943	101	12	2,t	2,t	NUM
fbem-26943	101	13			NOUN
fbem-26943	101	14	are	be	AUX
fbem-26943	101	15	associated	associate	VERB
fbem-26943	101	16	with	with	ADP
fbem-26943	101	17	equity	equity	NOUN
fbem-26943	101	18	and	and	CCONJ
fbem-26943	101	19	volatility	volatility	NOUN
fbem-26943	101	20	risk	risk	NOUN
fbem-26943	101	21	premia	premia	PROPN
fbem-26943	101	22	,	,	PUNCT
fbem-26943	101	23	respectively	respectively	ADV
fbem-26943	101	24	,	,	PUNCT
fbem-26943	101	25	capturing	capture	VERB
fbem-26943	101	26	the	the	DET
fbem-26943	101	27	discrepancy	discrepancy	NOUN
fbem-26943	101	28	between	between	ADP
fbem-26943	101	29	the	the	DET
fbem-26943	101	30	physical	physical	ADJ
fbem-26943	101	31	measure	measure	NOUN
fbem-26943	101	32	and	and	CCONJ
fbem-26943	101	33	risk	risk	NOUN
fbem-26943	101	34	-	-	PUNCT
fbem-26943	101	35	neutral	neutral	ADJ
fbem-26943	101	36	measure	measure	NOUN
fbem-26943	101	37	.	.	PUNCT
fbem-26943	102	1	imposing	impose	VERB
fbem-26943	102	2	the	the	DET
fbem-26943	102	3	non	non	ADJ
fbem-26943	102	4	-	-	ADJ
fbem-26943	102	5	arbitrage	arbitrage	ADJ
fbem-26943	102	6	condition	condition	NOUN
fbem-26943	102	7	,	,	PUNCT
fbem-26943	102	8	1	1	NUM
fbem-26943	102	9	exp	exp	NOUN
fbem-26943	102	10	(	(	PUNCT
fbem-26943	102	11	)	)	PUNCT
fbem-26943	102	12	exp	exp	NOUN
fbem-26943	102	13	(	(	PUNCT
fbem-26943	102	14	(	(	PUNCT
fbem-26943	102	15	)	)	PUNCT
fbem-26943	102	16	,	,	PUNCT
fbem-26943	102	17	)	)	PUNCT
fbem-26943	102	18	t	t	NOUN
fbem-26943	102	19	t	t	NOUN
fbem-26943	102	20	r	r	NOUN
fbem-26943	102	21	r	r	NOUN
fbem-26943	102	22	+	+	CCONJ
fbem-26943	102	23	=	=	NOUN
fbem-26943	102	24	e	e	X
fbem-26943	102	25	(	(	PUNCT
fbem-26943	102	26	5	5	NUM
fbem-26943	102	27	)	)	PUNCT
fbem-26943	102	28	yields	yield	VERB
fbem-26943	102	29	the	the	DET
fbem-26943	102	30	condition	condition	NOUN
fbem-26943	102	31	1	1	NUM
fbem-26943	102	32	1	1	NUM
fbem-26943	102	33	1	1	NUM
fbem-26943	102	34	1	1	NUM
fbem-26943	102	35	1	1	NUM
fbem-26943	102	36	,	,	PUNCT
fbem-26943	102	37	1	1	NUM
fbem-26943	102	38	(	(	PUNCT
fbem-26943	102	39	)	)	PUNCT
fbem-26943	102	40	(	(	PUNCT
fbem-26943	102	41	)	)	PUNCT
fbem-26943	102	42	exp	exp	NOUN
fbem-26943	102	43	(	(	PUNCT
fbem-26943	102	44	)	)	PUNCT
fbem-26943	102	45	exp	exp	NOUN
fbem-26943	102	46	(	(	PUNCT
fbem-26943	102	47	)	)	PUNCT
fbem-26943	102	48	exp	exp	NOUN
fbem-26943	102	49	(	(	PUNCT
fbem-26943	102	50	)	)	PUNCT
fbem-26943	102	51	exp	exp	NOUN
fbem-26943	102	52	(	(	PUNCT
fbem-26943	102	53	)	)	PUNCT
fbem-26943	102	54	,	,	PUNCT
fbem-26943	103	1	t	t	PROPN
fbem-26943	103	2	t	t	PROPN
fbem-26943	103	3	t	t	PROPN
fbem-26943	103	4	t	t	PROPN
fbem-26943	103	5	t	t	PROPN
fbem-26943	103	6	t	t	PROPN
fbem-26943	103	7	t	t	PROPN
fbem-26943	103	8	t	t	NOUN
fbem-26943	103	9	r	r	NOUN
fbem-26943	103	10	r	r	NOUN
fbem-26943	103	11	r	r	NOUN
fbem-26943	103	12	h	h	NOUN
fbem-26943	103	13	h	h	NOUN
fbem-26943	104	1	r	r	NOUN
fbem-26943	104	2			X
fbem-26943	104	3			X
fbem-26943	104	4			NOUN
fbem-26943	105	1	+	+	X
fbem-26943	106	1	+	+	PUNCT
fbem-26943	106	2	+	+	PUNCT
fbem-26943	106	3	+	+	ADJ
fbem-26943	106	4	+	+	NOUN
fbem-26943	106	5	=	=	SYM
fbem-26943	106	6	=	=	SYM
fbem-26943	106	7	=	=	X
fbem-26943	106	8	+	+	PUNCT
fbem-26943	106	9	+	+	CCONJ
fbem-26943	106	10	e	e	NOUN
fbem-26943	106	11	e	e	X
fbem-26943	106	12	(	(	PUNCT
fbem-26943	106	13	6	6	NUM
fbem-26943	106	14	)	)	PUNCT
fbem-26943	106	15	with	with	ADP
fbem-26943	106	16	1	1	NUM
fbem-26943	106	17	,	,	PUNCT
fbem-26943	106	18	.	.	PUNCT
fbem-26943	107	1	t	t	PROPN
fbem-26943	107	2			NOUN
fbem-26943	108	1	=	=	PUNCT
fbem-26943	108	2	−	−	NOUN
fbem-26943	108	3	(	(	PUNCT
fbem-26943	108	4	7	7	X
fbem-26943	108	5	)	)	PUNCT
fbem-26943	108	6	the	the	DET
fbem-26943	108	7	volatility	volatility	NOUN
fbem-26943	108	8	risk	risk	NOUN
fbem-26943	108	9	premium	premium	NOUN
fbem-26943	108	10	2,t	2,t	NUM
fbem-26943	108	11			NOUN
fbem-26943	108	12	can	can	AUX
fbem-26943	108	13	not	not	PART
fbem-26943	108	14	be	be	AUX
fbem-26943	108	15	determined	determine	VERB
fbem-26943	108	16	uniquely	uniquely	ADV
fbem-26943	108	17	and	and	CCONJ
fbem-26943	108	18	needs	need	VERB
fbem-26943	108	19	to	to	PART
fbem-26943	108	20	be	be	AUX
fbem-26943	108	21	estimated	estimate	VERB
fbem-26943	108	22	using	use	VERB
fbem-26943	108	23	option	option	NOUN
fbem-26943	108	24	data	datum	NOUN
fbem-26943	108	25	.	.	PUNCT
fbem-26943	109	1	to	to	PART
fbem-26943	109	2	simplify	simplify	VERB
fbem-26943	109	3	the	the	DET
fbem-26943	109	4	analysis	analysis	NOUN
fbem-26943	109	5	,	,	PUNCT
fbem-26943	109	6	it	it	PRON
fbem-26943	109	7	is	be	AUX
fbem-26943	109	8	assumed	assume	VERB
fbem-26943	109	9	to	to	PART
fbem-26943	109	10	be	be	AUX
fbem-26943	109	11	a	a	DET
fbem-26943	109	12	constant	constant	ADJ
fbem-26943	109	13	,	,	PUNCT
fbem-26943	109	14	2,t	2,t	NUM
fbem-26943	109	15			NOUN
fbem-26943	109	16	=	=	PROPN
fbem-26943	109	17	.	.	PUNCT
fbem-26943	110	1	then	then	ADV
fbem-26943	110	2	we	we	PRON
fbem-26943	110	3	consider	consider	VERB
fbem-26943	110	4	the	the	DET
fbem-26943	110	5	risk	risk	NOUN
fbem-26943	110	6	-	-	PUNCT
fbem-26943	110	7	neutral	neutral	ADJ
fbem-26943	110	8	moment	moment	NOUN
fbem-26943	110	9	-	-	PUNCT
fbem-26943	110	10	generating	generate	VERB
fbem-26943	110	11	function	function	NOUN
fbem-26943	110	12	(	(	PUNCT
fbem-26943	110	13	mgf	mgf	PROPN
fbem-26943	110	14	)	)	PUNCT
fbem-26943	110	15	and	and	CCONJ
fbem-26943	110	16	the	the	DET
fbem-26943	110	17	sufficient	sufficient	ADJ
fbem-26943	110	18	condition	condition	NOUN
fbem-26943	110	19	to	to	PART
fbem-26943	110	20	derive	derive	VERB
fbem-26943	110	21	the	the	DET
fbem-26943	110	22	model	model	NOUN
fbem-26943	110	23	under	under	ADP
fbem-26943	110	24	risk	risk	NOUN
fbem-26943	110	25	-	-	PUNCT
fbem-26943	110	26	neutral	neutral	ADJ
fbem-26943	110	27	measure	measure	NOUN
fbem-26943	110	28	.	.	PUNCT
fbem-26943	111	1	the	the	DET
fbem-26943	111	2	mgf	mgf	PROPN
fbem-26943	111	3	of	of	ADP
fbem-26943	111	4	the	the	DET
fbem-26943	111	5	two	two	NUM
fbem-26943	111	6	random	random	ADJ
fbem-26943	111	7	shocks	shock	NOUN
fbem-26943	111	8	can	can	AUX
fbem-26943	111	9	be	be	AUX
fbem-26943	111	10	written	write	VERB
fbem-26943	111	11	as	as	ADP
fbem-26943	111	12	355	355	NUM
fbem-26943	111	13	1	1	NUM
fbem-26943	111	14	1	1	NUM
fbem-26943	111	15	2	2	NUM
fbem-26943	111	16	1	1	NUM
fbem-26943	111	17	1	1	NUM
fbem-26943	111	18	1	1	NUM
fbem-26943	111	19	1	1	NUM
fbem-26943	111	20	2	2	NUM
fbem-26943	111	21	1	1	NUM
fbem-26943	111	22	2	2	NUM
fbem-26943	111	23	2	2	NUM
fbem-26943	111	24	1	1	NUM
fbem-26943	111	25	2	2	NUM
fbem-26943	111	26	1	1	NUM
fbem-26943	111	27	2	2	NUM
fbem-26943	111	28	(	(	PUNCT
fbem-26943	111	29	)	)	PUNCT
fbem-26943	111	30	(	(	PUNCT
fbem-26943	111	31	)	)	PUNCT
fbem-26943	111	32	2	2	NUM
fbem-26943	111	33	exp	exp	NOUN
fbem-26943	111	34	(	(	PUNCT
fbem-26943	111	35	)	)	PUNCT
fbem-26943	111	36	exp	exp	NOUN
fbem-26943	111	37	(	(	PUNCT
fbem-26943	111	38	2	2	NUM
fbem-26943	111	39	)	)	PUNCT
fbem-26943	111	40	exp	exp	NOUN
fbem-26943	111	41	(	(	PUNCT
fbem-26943	111	42	)	)	PUNCT
fbem-26943	111	43	.	.	PUNCT
fbem-26943	112	1	t	t	PROPN
fbem-26943	112	2	t	t	PROPN
fbem-26943	112	3	t	t	PROPN
fbem-26943	112	4	t	t	PROPN
fbem-26943	112	5	t	t	PROPN
fbem-26943	112	6	t	t	PROPN
fbem-26943	112	7	t	t	PROPN
fbem-26943	112	8	s	s	PROPN
fbem-26943	112	9	z	z	PROPN
fbem-26943	112	10	s	s	PART
fbem-26943	112	11	u	u	NOUN
fbem-26943	112	12	s	s	PROPN
fbem-26943	112	13	z	z	NOUN
fbem-26943	112	14	s	s	X
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fbem-26943	112	17	s	s	PROPN
fbem-26943	112	18	s	s	X
fbem-26943	112	19			X
fbem-26943	112	20			ADJ
fbem-26943	112	21			NOUN
fbem-26943	112	22	+	+	PUNCT
fbem-26943	113	1	+	+	PUNCT
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fbem-26943	114	2	+	+	NUM
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fbem-26943	115	1	−	−	PROPN
fbem-26943	116	1	+	+	NOUN
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fbem-26943	116	3	+	+	NUM
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fbem-26943	116	7	8)	8)	NUM
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fbem-26943	116	11	mapping	mapping	NOUN
fbem-26943	116	12	relationship	relationship	NOUN
fbem-26943	116	13	between	between	ADP
fbem-26943	116	14	the	the	DET
fbem-26943	116	15	physical	physical	ADJ
fbem-26943	116	16	and	and	CCONJ
fbem-26943	116	17	risk	risk	NOUN
fbem-26943	116	18	-	-	PUNCT
fbem-26943	116	19	neutral	neutral	ADJ
fbem-26943	116	20	innovation	innovation	NOUN
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fbem-26943	116	23	1	1	NUM
fbem-26943	116	24	1	1	NUM
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fbem-26943	116	26	t	t	PROPN
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fbem-26943	116	31	+	+	PUNCT
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fbem-26943	116	36	9	9	NUM
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fbem-26943	116	39	1	1	NUM
fbem-26943	116	40	1	1	NUM
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fbem-26943	117	1	t	t	PROPN
fbem-26943	117	2	t	t	PROPN
fbem-26943	117	3	u	u	X
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fbem-26943	117	6	+	+	PUNCT
fbem-26943	118	1	+	+	PUNCT
fbem-26943	118	2	=	=	SYM
fbem-26943	118	3	+	+	CCONJ
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fbem-26943	118	5	10	10	NUM
fbem-26943	118	6	)	)	PUNCT
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fbem-26943	118	8	,	,	PUNCT
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fbem-26943	118	10	corresponding	corresponding	ADJ
fbem-26943	118	11	risk	risk	NOUN
fbem-26943	118	12	-	-	PUNCT
fbem-26943	118	13	neutral	neutral	ADJ
fbem-26943	118	14	dynamics	dynamic	NOUN
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fbem-26943	118	17	1	1	NUM
fbem-26943	118	18	1	1	NUM
fbem-26943	118	19	1	1	NUM
fbem-26943	118	20	1	1	NUM
fbem-26943	118	21	1	1	NUM
fbem-26943	118	22	2	2	NUM
fbem-26943	118	23	,	,	PUNCT
fbem-26943	119	1	t	t	PROPN
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fbem-26943	121	2	+	+	PUNCT
fbem-26943	121	3	+	+	NUM
fbem-26943	121	4	+	+	ADJ
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fbem-26943	121	7	(	(	PUNCT
fbem-26943	121	8	11	11	NUM
fbem-26943	121	9	)	)	PUNCT
fbem-26943	121	10	*	*	PUNCT
fbem-26943	121	11	1	1	NUM
fbem-26943	121	12	1	1	NUM
fbem-26943	121	13	*	*	SYM
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fbem-26943	121	16	2	2	NUM
fbem-26943	121	17	(	(	PUNCT
fbem-26943	121	18	)	)	PUNCT
fbem-26943	121	19	(	(	PUNCT
fbem-26943	121	20	(	(	PUNCT
fbem-26943	121	21	)	)	PUNCT
fbem-26943	121	22	1	1	X
fbem-26943	121	23	)	)	PUNCT
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fbem-26943	121	25	log	log	NOUN
fbem-26943	121	26	(	(	PUNCT
fbem-26943	121	27	)	)	PUNCT
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fbem-26943	121	29	t	t	PROPN
fbem-26943	121	30	t	t	PROPN
fbem-26943	121	31	t	t	PROPN
fbem-26943	121	32	t	t	PROPN
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fbem-26943	122	1	t	t	PROPN
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fbem-26943	122	3	z	z	NOUN
fbem-26943	122	4	h	h	NOUN
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fbem-26943	123	2	h	h	NOUN
fbem-26943	123	3			PROPN
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fbem-26943	123	6			ADJ
fbem-26943	123	7			NOUN
fbem-26943	123	8			VERB
fbem-26943	123	9			NOUN
fbem-26943	123	10			NOUN
fbem-26943	123	11	+	+	PUNCT
fbem-26943	124	1	+	+	PUNCT
fbem-26943	124	2	=	=	X
fbem-26943	124	3	+	+	NUM
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fbem-26943	125	1	+	+	CCONJ
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fbem-26943	126	3	(	(	PUNCT
fbem-26943	126	4	12	12	NUM
fbem-26943	126	5	)	)	PUNCT
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fbem-26943	127	1	1	1	NUM
fbem-26943	127	2	1	1	NUM
fbem-26943	127	3	*	*	SYM
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fbem-26943	127	5	*	*	SYM
fbem-26943	127	6	2	2	NUM
fbem-26943	127	7	(	(	PUNCT
fbem-26943	127	8	)	)	PUNCT
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fbem-26943	127	11	(	(	PUNCT
fbem-26943	127	12	)	)	PUNCT
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fbem-26943	129	9	t	t	PROPN
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fbem-26943	130	2	z	z	SYM
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fbem-26943	130	4	h	h	NOUN
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fbem-26943	131	1	+	+	NUM
fbem-26943	131	2	−	−	PROPN
fbem-26943	132	1	+	+	CCONJ
fbem-26943	132	2	−	−	PROPN
fbem-26943	132	3	−	−	PROPN
fbem-26943	133	1	+	+	CCONJ
fbem-26943	133	2	+	+	PUNCT
fbem-26943	133	3	+	+	CCONJ
fbem-26943	133	4	(	(	PUNCT
fbem-26943	133	5	13	13	NUM
fbem-26943	133	6	)	)	PUNCT
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fbem-26943	134	3	t	t	PROPN
fbem-26943	134	4	z	z	PROPN
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fbem-26943	134	8	u	u	NOUN
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fbem-26943	134	11	normally	normally	ADV
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fbem-26943	134	13	.	.	PUNCT
fbem-26943	135	1	when	when	SCONJ
fbem-26943	135	2	estimating	estimate	VERB
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fbem-26943	135	5	equation	equation	NOUN
fbem-26943	135	6	under	under	ADP
fbem-26943	135	7	the	the	DET
fbem-26943	135	8	risk	risk	NOUN
fbem-26943	135	9	-	-	PUNCT
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fbem-26943	135	11	measure	measure	NOUN
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fbem-26943	135	18	1	1	NUM
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fbem-26943	135	20	1	1	NUM
fbem-26943	135	21	1	1	NUM
fbem-26943	135	22	1	1	NUM
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fbem-26943	136	1	t	t	PROPN
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fbem-26943	138	3	+	+	NUM
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fbem-26943	139	4	1	1	NUM
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fbem-26943	139	6	2	2	NUM
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fbem-26943	139	8	2	2	NUM
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fbem-26943	139	21	t	t	PROPN
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fbem-26943	144	7	2	2	NUM
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fbem-26943	144	9	1	1	NUM
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fbem-26943	149	19			NOUN
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fbem-26943	149	21			NOUN
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fbem-26943	149	27	1	1	NUM
fbem-26943	149	28	1	1	NUM
fbem-26943	149	29	2	2	NUM
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fbem-26943	151	1	competing	compete	VERB
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fbem-26943	151	5	selected	select	VERB
fbem-26943	151	6	in	in	ADP
fbem-26943	151	7	this	this	DET
fbem-26943	151	8	paper	paper	NOUN
fbem-26943	151	9	are	be	AUX
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fbem-26943	152	1	2.3.1	2.3.1	NUM
fbem-26943	152	2	.	.	PUNCT
fbem-26943	152	3	egarch	egarch	NOUN
fbem-26943	152	4	model	model	NOUN
fbem-26943	152	5	following	follow	VERB
fbem-26943	152	6	nelson	nelson	PROPN
fbem-26943	153	1	[	[	X
fbem-26943	153	2	9	9	NUM
fbem-26943	153	3	]	]	PUNCT
fbem-26943	153	4	,	,	PUNCT
fbem-26943	153	5	the	the	DET
fbem-26943	153	6	egarch	egarch	NOUN
fbem-26943	153	7	model	model	NOUN
fbem-26943	153	8	under	under	ADP
fbem-26943	153	9	physical	physical	ADJ
fbem-26943	153	10	measure	measure	NOUN
fbem-26943	153	11	can	can	AUX
fbem-26943	153	12	be	be	AUX
fbem-26943	153	13	written	write	VERB
fbem-26943	153	14	as	as	ADP
fbem-26943	153	15	:	:	PUNCT
fbem-26943	153	16	1	1	NUM
fbem-26943	153	17	1	1	NUM
fbem-26943	153	18	1	1	NUM
fbem-26943	153	19	1	1	NUM
fbem-26943	153	20	1	1	NUM
fbem-26943	153	21	1	1	NUM
fbem-26943	153	22	2	2	NUM
fbem-26943	153	23	,	,	PUNCT
fbem-26943	153	24	t	t	PROPN
fbem-26943	153	25	t	t	PROPN
fbem-26943	153	26	t	t	PROPN
fbem-26943	153	27	t	t	PROPN
fbem-26943	153	28	t	t	PROPN
fbem-26943	153	29	h	h	NOUN
fbem-26943	153	30	hr	hr	NOUN
fbem-26943	153	31	r	r	NOUN
fbem-26943	153	32	h	h	NOUN
fbem-26943	153	33	z	z	PROPN
fbem-26943	153	34	+	+	CCONJ
fbem-26943	154	1	+	+	PUNCT
fbem-26943	154	2	+	+	PUNCT
fbem-26943	154	3	+	+	PUNCT
fbem-26943	154	4	+	+	NOUN
fbem-26943	154	5	=	=	X
fbem-26943	155	1	−	−	X
fbem-26943	155	2	+	+	NOUN
fbem-26943	155	3	+	+	CCONJ
fbem-26943	155	4	(	(	PUNCT
fbem-26943	155	5	21	21	NUM
fbem-26943	155	6	)	)	SYM
fbem-26943	155	7	1	1	NUM
fbem-26943	155	8	1	1	NUM
fbem-26943	155	9	2	2	NUM
fbem-26943	155	10	log	log	NOUN
fbem-26943	155	11	log	log	NOUN
fbem-26943	155	12	2	2	NUM
fbem-26943	156	1	|	|	ADV
fbem-26943	156	2	|	|	ADV
fbem-26943	156	3	,	,	PUNCT
fbem-26943	156	4	t	t	PROPN
fbem-26943	156	5	t	t	PROPN
fbem-26943	156	6	t	t	PROPN
fbem-26943	156	7	t	t	PROPN
fbem-26943	157	1	h	h	NOUN
fbem-26943	157	2	h	h	PROPN
fbem-26943	157	3	z	z	PROPN
fbem-26943	157	4	z	z	PROPN
fbem-26943	158	1			PROPN
fbem-26943	158	2			NOUN
fbem-26943	158	3			NOUN
fbem-26943	158	4			NOUN
fbem-26943	159	1	+	+	X
fbem-26943	160	1	+	+	PUNCT
fbem-26943	160	2	=	=	SYM
fbem-26943	161	1	+	+	CCONJ
fbem-26943	161	2	+	+	NUM
fbem-26943	161	3			NOUN
fbem-26943	161	4			PROPN
fbem-26943	161	5	−	−	PROPN
fbem-26943	161	6			NOUN
fbem-26943	161	7			CCONJ
fbem-26943	161	8			ADJ
fbem-26943	161	9			NOUN
fbem-26943	161	10	(	(	PUNCT
fbem-26943	161	11	22	22	NUM
fbem-26943	161	12	)	)	PUNCT
fbem-26943	161	13	where	where	SCONJ
fbem-26943	161	14	~	~	PUNCT
fbem-26943	161	15	.	.	PUNCT
fbem-26943	161	16	.	.	PUNCT
fbem-26943	161	17	.	.	PUNCT
fbem-26943	162	1	(	(	PUNCT
fbem-26943	162	2	0,1	0,1	NUM
fbem-26943	162	3	)	)	PUNCT
fbem-26943	162	4	t	t	NOUN
fbem-26943	163	1	i	i	PRON
fbem-26943	163	2	i	i	PROPN
fbem-26943	164	1	d	d	X
fbem-26943	164	2	nz	nz	PROPN
fbem-26943	164	3	,	,	PUNCT
fbem-26943	164	4	and	and	CCONJ
fbem-26943	164	5	1	1	NUM
fbem-26943	164	6	2	2	NUM
fbem-26943	164	7	(	(	PUNCT
fbem-26943	164	8	|	|	ADV
fbem-26943	164	9	|	|	ADV
fbem-26943	164	10	2	2	NUM
fbem-26943	164	11	/	/	SYM
fbem-26943	165	1	)	)	PUNCT
fbem-26943	165	2	t	t	NOUN
fbem-26943	165	3	t	t	PROPN
fbem-26943	166	1	z	z	PROPN
fbem-26943	166	2	z	z	PROPN
fbem-26943	166	3			PROPN
fbem-26943	166	4	+	+	PROPN
fbem-26943	166	5	−	−	PROPN
fbem-26943	166	6	is	be	AUX
fbem-26943	166	7	the	the	DET
fbem-26943	166	8	leverage	leverage	NOUN
fbem-26943	166	9	function	function	NOUN
fbem-26943	166	10	,	,	PUNCT
fbem-26943	166	11	which	which	PRON
fbem-26943	166	12	capture	capture	VERB
fbem-26943	166	13	and	and	CCONJ
fbem-26943	166	14	the	the	DET
fbem-26943	166	15	corresponding	corresponding	ADJ
fbem-26943	166	16	model	model	NOUN
fbem-26943	166	17	under	under	ADP
fbem-26943	166	18	risk	risk	NOUN
fbem-26943	166	19	-	-	PUNCT
fbem-26943	166	20	neutral	neutral	ADJ
fbem-26943	166	21	measure	measure	NOUN
fbem-26943	166	22	is	be	AUX
fbem-26943	166	23	:	:	PUNCT
fbem-26943	166	24	*	*	PUNCT
fbem-26943	166	25	1	1	NUM
fbem-26943	166	26	1	1	NUM
fbem-26943	166	27	1	1	NUM
fbem-26943	166	28	1	1	NUM
fbem-26943	166	29	2	2	NUM
fbem-26943	166	30	,	,	PUNCT
fbem-26943	166	31	1	1	NUM
fbem-26943	166	32	t	t	NOUN
fbem-26943	166	33	t	t	NOUN
fbem-26943	166	34	t	t	PROPN
fbem-26943	166	35	t	t	PROPN
fbem-26943	167	1	hr	hr	NOUN
fbem-26943	167	2	r	r	NOUN
fbem-26943	167	3	h	h	NOUN
fbem-26943	167	4	z	z	NOUN
fbem-26943	168	1	+	+	PUNCT
fbem-26943	169	1	+	+	PUNCT
fbem-26943	169	2	+	+	PUNCT
fbem-26943	169	3	+	+	PROPN
fbem-26943	169	4	=	=	SYM
fbem-26943	169	5	−	−	PROPN
fbem-26943	170	1	+	+	CCONJ
fbem-26943	170	2	(	(	PUNCT
fbem-26943	170	3	23	23	NUM
fbem-26943	170	4	)	)	SYM
fbem-26943	170	5	1	1	NUM
fbem-26943	170	6	1	1	NUM
fbem-26943	170	7	2	2	NUM
fbem-26943	170	8	log	log	NOUN
fbem-26943	170	9	log	log	NOUN
fbem-26943	170	10	(	(	PUNCT
fbem-26943	170	11	)	)	PUNCT
fbem-26943	170	12	2	2	NUM
fbem-26943	171	1	|	|	ADV
fbem-26943	171	2	|	|	ADV
fbem-26943	171	3	,	,	PUNCT
fbem-26943	171	4	t	t	PROPN
fbem-26943	171	5	t	t	PROPN
fbem-26943	171	6	t	t	PROPN
fbem-26943	171	7	t	t	PROPN
fbem-26943	172	1	h	h	NOUN
fbem-26943	172	2	h	h	NOUN
fbem-26943	172	3	z	z	NOUN
fbem-26943	172	4	z	z	NOUN
fbem-26943	173	1			PROPN
fbem-26943	173	2			PROPN
fbem-26943	173	3			PROPN
fbem-26943	173	4			ADJ
fbem-26943	173	5			NOUN
fbem-26943	173	6			ADJ
fbem-26943	173	7			PROPN
fbem-26943	174	1	+	+	X
fbem-26943	174	2	+	+	NUM
fbem-26943	174	3	−	−	PROPN
fbem-26943	174	4			NOUN
fbem-26943	174	5			NOUN
fbem-26943	174	6	+	+	CCONJ
fbem-26943	174	7	=	=	PUNCT
fbem-26943	175	1	+	+	NUM
fbem-26943	176	1	−	−	PROPN
fbem-26943	176	2	−	−	PROPN
fbem-26943	176	3			NOUN
fbem-26943	176	4			CCONJ
fbem-26943	176	5			PROPN
fbem-26943	176	6			NOUN
fbem-26943	176	7	(	(	PUNCT
fbem-26943	176	8	24	24	NUM
fbem-26943	176	9	)	)	PUNCT
fbem-26943	176	10	where	where	SCONJ
fbem-26943	176	11	the	the	DET
fbem-26943	176	12	persistence	persistence	NOUN
fbem-26943	176	13	parameters	parameter	NOUN
fbem-26943	176	14	under	under	ADP
fbem-26943	176	15	two	two	NUM
fbem-26943	176	16	measures	measure	NOUN
fbem-26943	176	17	are	be	AUX
fbem-26943	176	18	the	the	DET
fbem-26943	176	19	same	same	ADJ
fbem-26943	176	20	,	,	PUNCT
fbem-26943	176	21	that	that	ADV
fbem-26943	176	22	is	be	AUX
fbem-26943	176	23	,	,	PUNCT
fbem-26943	176	24			PROPN
fbem-26943	176	25			PROPN
fbem-26943	176	26	=	=	NOUN
fbem-26943	176	27	=	=	PROPN
fbem-26943	176	28	p	p	NOUN
fbem-26943	176	29	.	.	PUNCT
fbem-26943	177	1	2.3.2	2.3.2	NUM
fbem-26943	177	2	.	.	PUNCT
fbem-26943	177	3	ngarch	ngarch	NOUN
fbem-26943	177	4	model	model	NOUN
fbem-26943	177	5	under	under	ADP
fbem-26943	177	6	the	the	DET
fbem-26943	177	7	ngarch	ngarch	NOUN
fbem-26943	177	8	model	model	NOUN
fbem-26943	177	9	by	by	ADP
fbem-26943	177	10	engle	engle	PROPN
fbem-26943	177	11	and	and	CCONJ
fbem-26943	177	12	ng	ng	PROPN
fbem-26943	178	1	[	[	X
fbem-26943	178	2	10	10	NUM
fbem-26943	178	3	]	]	PUNCT
fbem-26943	178	4	,	,	PUNCT
fbem-26943	178	5	the	the	DET
fbem-26943	178	6	return	return	NOUN
fbem-26943	178	7	dynamics	dynamic	NOUN
fbem-26943	178	8	are	be	AUX
fbem-26943	178	9	given	give	VERB
fbem-26943	178	10	by	by	ADP
fbem-26943	178	11	1	1	NUM
fbem-26943	178	12	1	1	NUM
fbem-26943	178	13	1	1	NUM
fbem-26943	178	14	1	1	NUM
fbem-26943	178	15	1	1	NUM
fbem-26943	178	16	1	1	NUM
fbem-26943	178	17	2	2	NUM
fbem-26943	178	18	,	,	PUNCT
fbem-26943	178	19	t	t	PROPN
fbem-26943	178	20	t	t	PROPN
fbem-26943	178	21	t	t	PROPN
fbem-26943	178	22	t	t	PROPN
fbem-26943	178	23	t	t	NOUN
fbem-26943	178	24	r	r	NOUN
fbem-26943	178	25	h	h	NOUN
fbem-26943	178	26	hr	hr	NOUN
fbem-26943	178	27	h	h	NOUN
fbem-26943	178	28	z	z	PROPN
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fbem-26943	179	1	+	+	PUNCT
fbem-26943	179	2	+	+	PUNCT
fbem-26943	179	3	+	+	PUNCT
fbem-26943	179	4	+	+	CCONJ
fbem-26943	179	5	=	=	SYM
fbem-26943	180	1	+	+	NUM
fbem-26943	180	2	−	−	PROPN
fbem-26943	181	1	+	+	CCONJ
fbem-26943	181	2	(	(	PUNCT
fbem-26943	181	3	25	25	NUM
fbem-26943	181	4	)	)	SYM
fbem-26943	181	5	2	2	NUM
fbem-26943	181	6	1	1	NUM
fbem-26943	181	7	1	1	NUM
fbem-26943	181	8	2	2	NUM
fbem-26943	181	9	,	,	PUNCT
fbem-26943	181	10	(	(	PUNCT
fbem-26943	181	11	)	)	PUNCT
fbem-26943	181	12	t	t	NOUN
fbem-26943	181	13	t	t	PROPN
fbem-26943	181	14	t	t	PROPN
fbem-26943	181	15	t	t	PROPN
fbem-26943	181	16	h	h	NOUN
fbem-26943	181	17	h	h	NOUN
fbem-26943	181	18	zh	zh	INTJ
fbem-26943	182	1			PROPN
fbem-26943	182	2			PROPN
fbem-26943	182	3			NOUN
fbem-26943	182	4			NOUN
fbem-26943	182	5	+	+	X
fbem-26943	183	1	=	=	PUNCT
fbem-26943	184	1	+	+	PUNCT
fbem-26943	184	2	+	+	NUM
fbem-26943	184	3	−	−	PROPN
fbem-26943	184	4	(	(	PUNCT
fbem-26943	184	5	26	26	NUM
fbem-26943	184	6	)	)	PUNCT
fbem-26943	185	1	where	where	SCONJ
fbem-26943	185	2	~	~	PUNCT
fbem-26943	185	3	.	.	PUNCT
fbem-26943	185	4	.	.	PUNCT
fbem-26943	185	5	.	.	PUNCT
fbem-26943	186	1	(	(	PUNCT
fbem-26943	186	2	0,1	0,1	NUM
fbem-26943	186	3	)	)	PUNCT
fbem-26943	186	4	t	t	NOUN
fbem-26943	187	1	i	i	PRON
fbem-26943	187	2	i	i	INTJ
fbem-26943	187	3	d	d	X
fbem-26943	187	4	nz	nz	PROPN
fbem-26943	187	5	.	.	PUNCT
fbem-26943	188	1	the	the	DET
fbem-26943	188	2	parameter	parameter	NOUN
fbem-26943	188	3	2	2	NUM
fbem-26943	188	4			NOUN
fbem-26943	188	5	capture	capture	VERB
fbem-26943	188	6	the	the	DET
fbem-26943	188	7	leverage	leverage	NOUN
fbem-26943	188	8	effect	effect	NOUN
fbem-26943	188	9	.	.	PUNCT
fbem-26943	189	1	the	the	DET
fbem-26943	189	2	dynamic	dynamic	ADJ
fbem-26943	189	3	equation	equation	NOUN
fbem-26943	189	4	under	under	ADP
fbem-26943	189	5	risk	risk	NOUN
fbem-26943	189	6	-	-	PUNCT
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fbem-26943	189	8	measure	measure	NOUN
fbem-26943	189	9	can	can	AUX
fbem-26943	189	10	be	be	AUX
fbem-26943	189	11	written	write	VERB
fbem-26943	189	12	as	as	ADP
fbem-26943	189	13	:	:	PUNCT
fbem-26943	189	14	*	*	SYM
fbem-26943	189	15	1	1	NUM
fbem-26943	189	16	1	1	NUM
fbem-26943	189	17	1	1	NUM
fbem-26943	189	18	1	1	NUM
fbem-26943	189	19	2	2	NUM
fbem-26943	189	20	,	,	PUNCT
fbem-26943	189	21	1	1	NUM
fbem-26943	189	22	t	t	NOUN
fbem-26943	189	23	t	t	NOUN
fbem-26943	189	24	t	t	PROPN
fbem-26943	189	25	t	t	PROPN
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fbem-26943	189	27	r	r	NOUN
fbem-26943	189	28	h	h	NOUN
fbem-26943	189	29	z	z	NOUN
fbem-26943	190	1	+	+	PUNCT
fbem-26943	191	1	+	+	PUNCT
fbem-26943	191	2	+	+	PUNCT
fbem-26943	191	3	+	+	PROPN
fbem-26943	191	4	=	=	SYM
fbem-26943	191	5	−	−	PROPN
fbem-26943	191	6	+	+	CCONJ
fbem-26943	191	7	(	(	PUNCT
fbem-26943	191	8	27	27	NUM
fbem-26943	191	9	)	)	PUNCT
fbem-26943	191	10	*	*	PUNCT
fbem-26943	191	11	2	2	NUM
fbem-26943	191	12	1	1	NUM
fbem-26943	191	13	1	1	NUM
fbem-26943	191	14	2	2	NUM
fbem-26943	191	15	(	(	PUNCT
fbem-26943	191	16	(	(	PUNCT
fbem-26943	191	17	)	)	PUNCT
fbem-26943	191	18	)	)	PUNCT
fbem-26943	191	19	,	,	PUNCT
fbem-26943	191	20	t	t	PROPN
fbem-26943	191	21	t	t	PROPN
fbem-26943	191	22	t	t	PROPN
fbem-26943	191	23	t	t	PROPN
fbem-26943	191	24	h	h	NOUN
fbem-26943	191	25	h	h	PROPN
fbem-26943	191	26	h	h	PROPN
fbem-26943	191	27	z	z	PROPN
fbem-26943	192	1			PROPN
fbem-26943	192	2			NOUN
fbem-26943	192	3			NOUN
fbem-26943	192	4			ADJ
fbem-26943	192	5	+	+	CCONJ
fbem-26943	192	6	−	−	X
fbem-26943	193	1	+	+	NOUN
fbem-26943	193	2	=	=	X
fbem-26943	194	1	+	+	X
fbem-26943	194	2	+	+	CCONJ
fbem-26943	194	3	(	(	PUNCT
fbem-26943	194	4	28	28	NUM
fbem-26943	194	5	)	)	PUNCT
fbem-26943	194	6	where	where	SCONJ
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fbem-26943	194	9	.	.	PUNCT
fbem-26943	194	10	.	.	PUNCT
fbem-26943	194	11	.	.	PUNCT
fbem-26943	195	1	(	(	PUNCT
fbem-26943	195	2	0,1	0,1	NUM
fbem-26943	195	3	)	)	PUNCT
fbem-26943	196	1	t	t	NOUN
fbem-26943	196	2	t	t	NOUN
fbem-26943	197	1	z	z	NOUN
fbem-26943	198	1	i	i	PRON
fbem-26943	198	2	i	i	INTJ
fbem-26943	199	1	d	d	X
fbem-26943	199	2	nz	nz	X
fbem-26943	199	3	=	=	PUNCT
fbem-26943	199	4	+	+	NUM
fbem-26943	199	5	.	.	PUNCT
fbem-26943	200	1	2.3.3	2.3.3	X
fbem-26943	200	2	.	.	X
fbem-26943	200	3	gjr	gjr	NOUN
fbem-26943	200	4	-	-	PUNCT
fbem-26943	200	5	garch	garch	NOUN
fbem-26943	200	6	model	model	NOUN
fbem-26943	200	7	the	the	DET
fbem-26943	200	8	gjr	gjr	NOUN
fbem-26943	200	9	-	-	PUNCT
fbem-26943	200	10	garch	garch	NOUN
fbem-26943	200	11	model	model	NOUN
fbem-26943	200	12	proposed	propose	VERB
fbem-26943	200	13	by	by	ADP
fbem-26943	200	14	glosten	glosten	PROPN
fbem-26943	200	15	et	et	PROPN
fbem-26943	200	16	al	al	PROPN
fbem-26943	200	17	.	.	PUNCT
fbem-26943	201	1	[	[	X
fbem-26943	201	2	11	11	NUM
fbem-26943	201	3	]	]	PUNCT
fbem-26943	201	4	is	be	AUX
fbem-26943	201	5	given	give	VERB
fbem-26943	201	6	by	by	ADP
fbem-26943	201	7	1	1	NUM
fbem-26943	201	8	1	1	NUM
fbem-26943	201	9	1	1	NUM
fbem-26943	201	10	1	1	NUM
fbem-26943	201	11	1	1	NUM
fbem-26943	201	12	1	1	NUM
fbem-26943	201	13	2	2	NUM
fbem-26943	201	14	,	,	PUNCT
fbem-26943	201	15	t	t	PROPN
fbem-26943	201	16	t	t	PROPN
fbem-26943	201	17	t	t	PROPN
fbem-26943	201	18	t	t	PROPN
fbem-26943	201	19	t	t	NOUN
fbem-26943	201	20	r	r	NOUN
fbem-26943	201	21	h	h	NOUN
fbem-26943	201	22	hr	hr	NOUN
fbem-26943	201	23	h	h	NOUN
fbem-26943	201	24	z	z	PROPN
fbem-26943	201	25	+	+	PROPN
fbem-26943	202	1	+	+	PUNCT
fbem-26943	202	2	+	+	PUNCT
fbem-26943	202	3	+	+	PUNCT
fbem-26943	202	4	+	+	CCONJ
fbem-26943	202	5	=	=	SYM
fbem-26943	203	1	+	+	NUM
fbem-26943	203	2	−	−	PROPN
fbem-26943	204	1	+	+	CCONJ
fbem-26943	204	2	(	(	PUNCT
fbem-26943	204	3	29	29	NUM
fbem-26943	204	4	)	)	SYM
fbem-26943	204	5	2	2	NUM
fbem-26943	204	6	2	2	NUM
fbem-26943	204	7	1	1	NUM
fbem-26943	204	8	1	1	NUM
fbem-26943	204	9	2	2	NUM
fbem-26943	204	10	max(0	max(0	NOUN
fbem-26943	204	11	)	)	PUNCT
fbem-26943	205	1	]	]	PUNCT
fbem-26943	205	2	,	,	PUNCT
fbem-26943	205	3	[	[	PUNCT
fbem-26943	205	4	,	,	PUNCT
fbem-26943	205	5	t	t	PROPN
fbem-26943	205	6	t	t	PROPN
fbem-26943	205	7	t	t	PROPN
fbem-26943	205	8	t	t	PROPN
fbem-26943	205	9	h	h	NOUN
fbem-26943	205	10	h	h	PROPN
fbem-26943	205	11	z	z	PROPN
fbem-26943	205	12	z	z	PROPN
fbem-26943	206	1			PROPN
fbem-26943	206	2			NOUN
fbem-26943	206	3			NOUN
fbem-26943	206	4	+	+	X
fbem-26943	207	1	=	=	PUNCT
fbem-26943	208	1	+	+	PUNCT
fbem-26943	208	2	+	+	CCONJ
fbem-26943	208	3	+	+	CCONJ
fbem-26943	208	4	−	−	PROPN
fbem-26943	208	5	(	(	PUNCT
fbem-26943	208	6	30	30	NUM
fbem-26943	208	7	)	)	PUNCT
fbem-26943	209	1	where	where	SCONJ
fbem-26943	209	2	~	~	PUNCT
fbem-26943	209	3	.	.	PUNCT
fbem-26943	209	4	.	.	PUNCT
fbem-26943	209	5	.	.	PUNCT
fbem-26943	210	1	(	(	PUNCT
fbem-26943	210	2	0,1)t	0,1)t	PUNCT
fbem-26943	210	3	i	i	INTJ
fbem-26943	211	1	i	i	INTJ
fbem-26943	211	2	d	d	NOUN
fbem-26943	211	3	nz	nz	PROPN
fbem-26943	211	4	.	.	PUNCT
fbem-26943	212	1	the	the	DET
fbem-26943	212	2	leverage	leverage	NOUN
fbem-26943	212	3	effect	effect	NOUN
fbem-26943	212	4	is	be	AUX
fbem-26943	212	5	captured	capture	VERB
fbem-26943	212	6	by	by	ADP
fbem-26943	212	7	parameter	parameter	NOUN
fbem-26943	212	8	2	2	NUM
fbem-26943	212	9			NOUN
fbem-26943	212	10	.	.	PUNCT
fbem-26943	213	1	the	the	DET
fbem-26943	213	2	risk	risk	NOUN
fbem-26943	213	3	-	-	PUNCT
fbem-26943	213	4	neutral	neutral	ADJ
fbem-26943	213	5	gjr	gjr	NOUN
fbem-26943	213	6	-	-	PUNCT
fbem-26943	213	7	model	model	NOUN
fbem-26943	213	8	can	can	AUX
fbem-26943	213	9	be	be	AUX
fbem-26943	213	10	derived	derive	VERB
fbem-26943	213	11	:	:	PUNCT
fbem-26943	213	12	*	*	PUNCT
fbem-26943	213	13	1	1	NUM
fbem-26943	213	14	1	1	NUM
fbem-26943	213	15	1	1	NUM
fbem-26943	213	16	1	1	NUM
fbem-26943	213	17	2	2	NUM
fbem-26943	213	18	,	,	PUNCT
fbem-26943	213	19	1	1	NUM
fbem-26943	213	20	t	t	NOUN
fbem-26943	213	21	t	t	NOUN
fbem-26943	213	22	t	t	PROPN
fbem-26943	213	23	t	t	PROPN
fbem-26943	213	24	hr	hr	NOUN
fbem-26943	213	25	r	r	NOUN
fbem-26943	213	26	h	h	NOUN
fbem-26943	213	27	z	z	NOUN
fbem-26943	214	1	+	+	PUNCT
fbem-26943	215	1	+	+	PUNCT
fbem-26943	215	2	+	+	PUNCT
fbem-26943	215	3	+	+	PROPN
fbem-26943	215	4	=	=	SYM
fbem-26943	215	5	−	−	PROPN
fbem-26943	215	6	+	+	CCONJ
fbem-26943	215	7	(	(	PUNCT
fbem-26943	215	8	31	31	NUM
fbem-26943	215	9	)	)	SYM
fbem-26943	215	10	2	2	NUM
fbem-26943	215	11	1	1	NUM
fbem-26943	215	12	1	1	NUM
fbem-26943	215	13	2	2	NUM
fbem-26943	215	14	2	2	NUM
fbem-26943	215	15	[	[	PUNCT
fbem-26943	215	16	(	(	PUNCT
fbem-26943	215	17	)	)	PUNCT
fbem-26943	215	18	max(0	max(0	NOUN
fbem-26943	215	19	,	,	PUNCT
fbem-26943	215	20	(	(	PUNCT
fbem-26943	215	21	)	)	PUNCT
fbem-26943	215	22	)	)	PUNCT
fbem-26943	216	1	]	]	PUNCT
fbem-26943	216	2	,	,	PUNCT
fbem-26943	216	3	t	t	PROPN
fbem-26943	216	4	t	t	PROPN
fbem-26943	216	5	t	t	PROPN
fbem-26943	216	6	t	t	PROPN
fbem-26943	216	7	h	h	NOUN
fbem-26943	216	8	h	h	NOUN
fbem-26943	216	9	z	z	NOUN
fbem-26943	216	10	z	z	NOUN
fbem-26943	217	1			PROPN
fbem-26943	217	2			PROPN
fbem-26943	217	3			PROPN
fbem-26943	217	4			ADJ
fbem-26943	217	5			NOUN
fbem-26943	217	6			ADJ
fbem-26943	217	7	+	+	X
fbem-26943	217	8	=	=	SYM
fbem-26943	218	1	+	+	PUNCT
fbem-26943	219	1	+	+	CCONJ
fbem-26943	219	2	−	−	PROPN
fbem-26943	219	3	+	+	CCONJ
fbem-26943	219	4	−	−	PROPN
fbem-26943	220	1	−	−	PROPN
fbem-26943	220	2	(	(	PUNCT
fbem-26943	220	3	32	32	NUM
fbem-26943	220	4	)	)	PUNCT
fbem-26943	220	5	356	356	NUM
fbem-26943	220	6	where	where	SCONJ
fbem-26943	220	7	*	*	ADP
fbem-26943	220	8	~	~	PUNCT
fbem-26943	220	9	.	.	PUNCT
fbem-26943	220	10	.	.	PUNCT
fbem-26943	220	11	.	.	PUNCT
fbem-26943	221	1	(	(	PUNCT
fbem-26943	221	2	0,1	0,1	NUM
fbem-26943	221	3	)	)	PUNCT
fbem-26943	222	1	t	t	NOUN
fbem-26943	222	2	t	t	NOUN
fbem-26943	223	1	z	z	NOUN
fbem-26943	224	1	i	i	PRON
fbem-26943	224	2	i	i	INTJ
fbem-26943	225	1	d	d	X
fbem-26943	225	2	nz	nz	X
fbem-26943	225	3	=	=	PUNCT
fbem-26943	225	4	+	+	CCONJ
fbem-26943	225	5	.	.	PUNCT
fbem-26943	226	1	2.4	2.4	NUM
fbem-26943	226	2	.	.	PUNCT
fbem-26943	227	1	option	option	NOUN
fbem-26943	227	2	valuation	valuation	NOUN
fbem-26943	227	3	according	accord	VERB
fbem-26943	227	4	to	to	ADP
fbem-26943	227	5	the	the	DET
fbem-26943	227	6	risk	risk	NOUN
fbem-26943	227	7	-	-	PUNCT
fbem-26943	227	8	neutral	neutral	ADJ
fbem-26943	227	9	principle	principle	NOUN
fbem-26943	227	10	,	,	PUNCT
fbem-26943	227	11	the	the	DET
fbem-26943	227	12	european	european	ADJ
fbem-26943	227	13	call	call	NOUN
fbem-26943	227	14	option	option	NOUN
fbem-26943	227	15	price	price	NOUN
fbem-26943	227	16	can	can	AUX
fbem-26943	227	17	be	be	AUX
fbem-26943	227	18	written	write	VERB
fbem-26943	227	19	as	as	ADP
fbem-26943	227	20	exp	exp	NOUN
fbem-26943	227	21	(	(	PUNCT
fbem-26943	227	22	(	(	PUNCT
fbem-26943	227	23	)	)	PUNCT
fbem-26943	227	24	)	)	PUNCT
fbem-26943	228	1	[	[	X
fbem-26943	228	2	max	max	X
fbem-26943	228	3	(	(	PUNCT
fbem-26943	228	4	,	,	PUNCT
fbem-26943	228	5	0	0	NUM
fbem-26943	228	6	)	)	PUNCT
fbem-26943	228	7	]	]	PUNCT
fbem-26943	229	1	t	t	PROPN
fbem-26943	229	2	t	t	PROPN
fbem-26943	229	3	t	t	PROPN
fbem-26943	229	4	r	r	NOUN
fbem-26943	229	5	t	t	PROPN
fbem-26943	229	6	t	t	X
fbem-26943	229	7	e	e	X
fbem-26943	229	8	sc	sc	PROPN
fbem-26943	229	9	k=	k=	INTJ
fbem-26943	230	1	−	−	PROPN
fbem-26943	231	1	−	−	PROPN
fbem-26943	232	1	−	−	PROPN
fbem-26943	232	2	，	，	PROPN
fbem-26943	232	3	(	(	PUNCT
fbem-26943	232	4	33	33	NUM
fbem-26943	232	5	)	)	PUNCT
fbem-26943	232	6	where	where	SCONJ
fbem-26943	232	7	t	t	PROPN
fbem-26943	232	8	denotes	denote	VERB
fbem-26943	232	9	the	the	DET
fbem-26943	232	10	maturity	maturity	NOUN
fbem-26943	232	11	of	of	ADP
fbem-26943	232	12	the	the	DET
fbem-26943	232	13	option	option	NOUN
fbem-26943	232	14	,	,	PUNCT
fbem-26943	232	15	t	t	PROPN
fbem-26943	232	16	-	-	PUNCT
fbem-26943	232	17	t	t	PROPN
fbem-26943	232	18	is	be	AUX
fbem-26943	232	19	the	the	DET
fbem-26943	232	20	time	time	NOUN
fbem-26943	232	21	to	to	ADP
fbem-26943	232	22	maturity	maturity	NOUN
fbem-26943	232	23	,	,	PUNCT
fbem-26943	232	24	and	and	CCONJ
fbem-26943	232	25	k	k	PROPN
fbem-26943	232	26	is	be	AUX
fbem-26943	232	27	the	the	DET
fbem-26943	232	28	trike	trike	ADJ
fbem-26943	232	29	price	price	NOUN
fbem-26943	232	30	.	.	PUNCT
fbem-26943	233	1	st	st	PROPN
fbem-26943	233	2	denotes	denote	VERB
fbem-26943	233	3	the	the	DET
fbem-26943	233	4	price	price	NOUN
fbem-26943	233	5	of	of	ADP
fbem-26943	233	6	the	the	DET
fbem-26943	233	7	underlying	underlie	VERB
fbem-26943	233	8	asset	asset	NOUN
fbem-26943	233	9	at	at	ADP
fbem-26943	233	10	time	time	NOUN
fbem-26943	233	11	t.	t.	PROPN
fbem-26943	233	12	since	since	SCONJ
fbem-26943	233	13	the	the	DET
fbem-26943	233	14	regarch	regarch	NOUN
fbem-26943	233	15	is	be	AUX
fbem-26943	233	16	a	a	DET
fbem-26943	233	17	nonaffine	nonaffine	NOUN
fbem-26943	233	18	model	model	NOUN
fbem-26943	233	19	,	,	PUNCT
fbem-26943	233	20	whose	whose	DET
fbem-26943	233	21	closed	close	VERB
fbem-26943	233	22	-	-	PUNCT
fbem-26943	233	23	form	form	NOUN
fbem-26943	233	24	solution	solution	NOUN
fbem-26943	233	25	is	be	AUX
fbem-26943	233	26	not	not	PART
fbem-26943	233	27	exist	exist	ADJ
fbem-26943	233	28	,	,	PUNCT
fbem-26943	233	29	that	that	SCONJ
fbem-26943	233	30	we	we	PRON
fbem-26943	233	31	use	use	VERB
fbem-26943	233	32	the	the	DET
fbem-26943	233	33	monte	monte	PROPN
fbem-26943	233	34	carlo	carlo	PROPN
fbem-26943	233	35	simulation	simulation	PROPN
fbem-26943	233	36	method	method	NOUN
fbem-26943	233	37	to	to	PART
fbem-26943	233	38	calculate	calculate	VERB
fbem-26943	233	39	the	the	DET
fbem-26943	233	40	option	option	NOUN
fbem-26943	233	41	price	price	NOUN
fbem-26943	233	42	:	:	PUNCT
fbem-26943	233	43	1	1	NUM
fbem-26943	233	44	1	1	NUM
fbem-26943	233	45	1	1	NUM
fbem-26943	233	46	exp	exp	NOUN
fbem-26943	233	47	(	(	PUNCT
fbem-26943	233	48	(	(	PUNCT
fbem-26943	233	49	)	)	PUNCT
fbem-26943	233	50	)	)	PUNCT
fbem-26943	233	51	max	max	PROPN
fbem-26943	233	52	exp	exp	NOUN
fbem-26943	233	53	,	,	PUNCT
fbem-26943	233	54	0	0	NUM
fbem-26943	233	55	,	,	PUNCT
fbem-26943	233	56	t	t	PROPN
fbem-26943	233	57	mc	mc	PROPN
fbem-26943	233	58	t	t	PROPN
fbem-26943	233	59	t	t	PROPN
fbem-26943	234	1	j	j	PROPN
fbem-26943	234	2	t	t	PROPN
fbem-26943	234	3	t	t	PROPN
fbem-26943	235	1	k	k	PROPN
fbem-26943	235	2	j	j	PROPN
fbem-26943	236	1	k	k	PROPN
fbem-26943	236	2	r	r	NOUN
fbem-26943	236	3	t	t	PROPN
fbem-26943	236	4	t	t	X
fbem-26943	236	5	mc	mc	PROPN
fbem-26943	236	6	s	s	PROPN
fbem-26943	236	7	c	c	PROPN
fbem-26943	236	8	r	r	NOUN
fbem-26943	236	9	k	k	NOUN
fbem-26943	236	10	−	−	PROPN
fbem-26943	237	1	+	+	CCONJ
fbem-26943	237	2	=	=	SYM
fbem-26943	237	3	=	=	SYM
fbem-26943	237	4	−	−	PROPN
fbem-26943	237	5	−	−	PROPN
fbem-26943	238	1			NOUN
fbem-26943	238	2			PROPN
fbem-26943	238	3			PROPN
fbem-26943	238	4			PROPN
fbem-26943	238	5			PROPN
fbem-26943	238	6	−	−	ADV
fbem-26943	238	7			VERB
fbem-26943	238	8			X
fbem-26943	239	1			PROPN
fbem-26943	239	2			PROPN
fbem-26943	239	3			NOUN
fbem-26943	239	4			PROPN
fbem-26943	239	5			PROPN
fbem-26943	239	6			PUNCT
fbem-26943	239	7			X
fbem-26943	239	8			X
fbem-26943	239	9	(	(	PUNCT
fbem-26943	239	10	34	34	NUM
fbem-26943	239	11	)	)	PUNCT
fbem-26943	239	12	where	where	SCONJ
fbem-26943	239	13	j	j	PROPN
fbem-26943	239	14	t	t	PROPN
fbem-26943	239	15	k	k	PROPN
fbem-26943	239	16	r	r	PROPN
fbem-26943	240	1	+	+	CCONJ
fbem-26943	240	2	is	be	AUX
fbem-26943	240	3	the	the	DET
fbem-26943	240	4	return	return	NOUN
fbem-26943	240	5	of	of	ADP
fbem-26943	240	6	the	the	DET
fbem-26943	240	7	underlying	underlie	VERB
fbem-26943	240	8	asset	asset	NOUN
fbem-26943	240	9	at	at	ADP
fbem-26943	240	10	time	time	NOUN
fbem-26943	240	11	t+k	t+k	NUM
fbem-26943	240	12	along	along	ADP
fbem-26943	240	13	the	the	DET
fbem-26943	240	14	j	j	PROPN
fbem-26943	240	15	-	-	PUNCT
fbem-26943	240	16	th	th	PROPN
fbem-26943	240	17	simulation	simulation	NOUN
fbem-26943	240	18	path	path	NOUN
fbem-26943	240	19	under	under	ADP
fbem-26943	240	20	the	the	DET
fbem-26943	240	21	risk	risk	NOUN
fbem-26943	240	22	-	-	PUNCT
fbem-26943	240	23	neutral	neutral	ADJ
fbem-26943	240	24	measure	measure	NOUN
fbem-26943	240	25	of	of	ADP
fbem-26943	240	26	regarch	regarch	NOUN
fbem-26943	240	27	model	model	NOUN
fbem-26943	240	28	.	.	PUNCT
fbem-26943	241	1	to	to	PART
fbem-26943	241	2	reduce	reduce	VERB
fbem-26943	241	3	the	the	DET
fbem-26943	241	4	simulation	simulation	NOUN
fbem-26943	241	5	error	error	NOUN
fbem-26943	241	6	,	,	PUNCT
fbem-26943	241	7	the	the	DET
fbem-26943	241	8	empirical	empirical	ADJ
fbem-26943	241	9	simulation	simulation	NOUN
fbem-26943	241	10	method	method	NOUN
fbem-26943	241	11	is	be	AUX
fbem-26943	241	12	adopted	adopt	VERB
fbem-26943	241	13	[	[	X
fbem-26943	241	14	18	18	NUM
fbem-26943	241	15	]	]	PUNCT
fbem-26943	241	16	.	.	PUNCT
fbem-26943	242	1	the	the	DET
fbem-26943	242	2	price	price	NOUN
fbem-26943	242	3	of	of	ADP
fbem-26943	242	4	a	a	DET
fbem-26943	242	5	european	european	ADJ
fbem-26943	242	6	put	put	NOUN
fbem-26943	242	7	option	option	NOUN
fbem-26943	242	8	can	can	AUX
fbem-26943	242	9	be	be	AUX
fbem-26943	242	10	derived	derive	VERB
fbem-26943	242	11	through	through	ADP
fbem-26943	242	12	the	the	DET
fbem-26943	242	13	call	call	NOUN
fbem-26943	242	14	-	-	PUNCT
fbem-26943	242	15	put	put	VERB
fbem-26943	242	16	parity	parity	NOUN
fbem-26943	242	17	relationship	relationship	NOUN
fbem-26943	242	18	.	.	PUNCT
fbem-26943	243	1	3	3	X
fbem-26943	243	2	.	.	X
fbem-26943	243	3	empirical	empirical	ADJ
fbem-26943	243	4	analysis	analysis	NOUN
fbem-26943	243	5	3.1	3.1	NUM
fbem-26943	243	6	.	.	PUNCT
fbem-26943	244	1	data	datum	NOUN
fbem-26943	244	2	the	the	DET
fbem-26943	244	3	data	datum	NOUN
fbem-26943	244	4	set	set	VERB
fbem-26943	244	5	in	in	ADP
fbem-26943	244	6	this	this	DET
fbem-26943	244	7	paper	paper	NOUN
fbem-26943	244	8	contains	contain	VERB
fbem-26943	244	9	the	the	DET
fbem-26943	244	10	s&p	s&p	PROPN
fbem-26943	244	11	500	500	NUM
fbem-26943	244	12	return	return	NOUN
fbem-26943	244	13	series	series	NOUN
fbem-26943	244	14	,	,	PUNCT
fbem-26943	244	15	the	the	DET
fbem-26943	244	16	corresponding	corresponding	PROPN
fbem-26943	244	17	rv	rv	PROPN
fbem-26943	244	18	,	,	PUNCT
fbem-26943	244	19	and	and	CCONJ
fbem-26943	244	20	the	the	DET
fbem-26943	244	21	panel	panel	NOUN
fbem-26943	244	22	data	datum	NOUN
fbem-26943	244	23	of	of	ADP
fbem-26943	244	24	option	option	NOUN
fbem-26943	244	25	prices	price	NOUN
fbem-26943	244	26	collected	collect	VERB
fbem-26943	244	27	from	from	ADP
fbem-26943	244	28	the	the	DET
fbem-26943	244	29	oxford	oxford	PROPN
fbem-26943	244	30	-	-	PUNCT
fbem-26943	244	31	man	man	PROPN
fbem-26943	244	32	institute	institute	NOUN
fbem-26943	244	33	realized	realize	VERB
fbem-26943	244	34	library	library	NOUN
fbem-26943	244	35	and	and	CCONJ
fbem-26943	244	36	wind	wind	NOUN
fbem-26943	244	37	.	.	PUNCT
fbem-26943	245	1	the	the	DET
fbem-26943	245	2	sample	sample	NOUN
fbem-26943	245	3	period	period	NOUN
fbem-26943	245	4	is	be	AUX
fbem-26943	245	5	from	from	ADP
fbem-26943	245	6	january	january	PROPN
fbem-26943	245	7	2	2	NUM
fbem-26943	245	8	,	,	PUNCT
fbem-26943	245	9	2019	2019	NUM
fbem-26943	245	10	to	to	ADP
fbem-26943	245	11	december	december	PROPN
fbem-26943	245	12	31	31	NUM
fbem-26943	245	13	,	,	PUNCT
fbem-26943	245	14	2023	2023	NUM
fbem-26943	245	15	.	.	PUNCT
fbem-26943	246	1	we	we	PRON
fbem-26943	246	2	select	select	VERB
fbem-26943	246	3	the	the	DET
fbem-26943	246	4	call	call	NOUN
fbem-26943	246	5	option	option	NOUN
fbem-26943	246	6	data	datum	NOUN
fbem-26943	246	7	on	on	ADP
fbem-26943	246	8	wednesday	wednesday	PROPN
fbem-26943	246	9	as	as	ADP
fbem-26943	246	10	in	in	ADP
fbem-26943	246	11	-	-	PUNCT
fbem-26943	246	12	sample	sample	NOUN
fbem-26943	246	13	data	datum	NOUN
fbem-26943	246	14	for	for	ADP
fbem-26943	246	15	calibrating	calibrate	VERB
fbem-26943	246	16	the	the	DET
fbem-26943	246	17	pricing	pricing	NOUN
fbem-26943	246	18	model	model	NOUN
fbem-26943	246	19	parameters	parameter	NOUN
fbem-26943	246	20	,	,	PUNCT
fbem-26943	246	21	and	and	CCONJ
fbem-26943	246	22	choose	choose	VERB
fbem-26943	246	23	the	the	DET
fbem-26943	246	24	call	call	NOUN
fbem-26943	246	25	option	option	NOUN
fbem-26943	246	26	data	datum	NOUN
fbem-26943	246	27	on	on	ADP
fbem-26943	246	28	thursdays	thursday	NOUN
fbem-26943	246	29	as	as	ADP
fbem-26943	246	30	out	out	ADP
fbem-26943	246	31	-	-	PUNCT
fbem-26943	246	32	of	of	ADP
fbem-26943	246	33	-	-	PUNCT
fbem-26943	246	34	sample	sample	NOUN
fbem-26943	246	35	data	datum	NOUN
fbem-26943	246	36	to	to	PART
fbem-26943	246	37	examine	examine	VERB
fbem-26943	246	38	the	the	DET
fbem-26943	246	39	pricing	pricing	NOUN
fbem-26943	246	40	ability	ability	NOUN
fbem-26943	246	41	of	of	ADP
fbem-26943	246	42	the	the	DET
fbem-26943	246	43	models	model	NOUN
fbem-26943	246	44	.	.	PUNCT
fbem-26943	247	1	following	follow	VERB
fbem-26943	247	2	christoffersen	christoffersen	VERB
fbem-26943	247	3	et	et	NOUN
fbem-26943	247	4	al	al	PROPN
fbem-26943	247	5	.	.	PUNCT
fbem-26943	248	1	[	[	X
fbem-26943	248	2	13	13	NUM
fbem-26943	248	3	]	]	PUNCT
fbem-26943	248	4	,	,	PUNCT
fbem-26943	248	5	we	we	PRON
fbem-26943	248	6	use	use	VERB
fbem-26943	248	7	put	put	VERB
fbem-26943	248	8	and	and	CCONJ
fbem-26943	248	9	call	call	VERB
fbem-26943	248	10	options	option	NOUN
fbem-26943	248	11	with	with	ADP
fbem-26943	248	12	positive	positive	ADJ
fbem-26943	248	13	trading	trading	NOUN
fbem-26943	248	14	volumes	volume	NOUN
fbem-26943	248	15	and	and	CCONJ
fbem-26943	248	16	maturities	maturity	NOUN
fbem-26943	248	17	of	of	ADP
fbem-26943	248	18	15	15	NUM
fbem-26943	248	19	-	-	SYM
fbem-26943	248	20	180	180	NUM
fbem-26943	248	21	days	day	NOUN
fbem-26943	248	22	,	,	PUNCT
fbem-26943	248	23	and	and	CCONJ
fbem-26943	248	24	convert	convert	VERB
fbem-26943	248	25	out	out	ADP
fbem-26943	248	26	-	-	PUNCT
fbem-26943	248	27	of	of	ADP
fbem-26943	248	28	-	-	PUNCT
fbem-26943	248	29	money	money	NOUN
fbem-26943	248	30	put	put	NOUN
fbem-26943	248	31	option	option	NOUN
fbem-26943	248	32	prices	price	NOUN
fbem-26943	248	33	to	to	ADP
fbem-26943	248	34	in	in	ADP
fbem-26943	248	35	-	-	PUNCT
fbem-26943	248	36	the	the	DET
fbem-26943	248	37	-	-	PUNCT
fbem-26943	248	38	money	money	NOUN
fbem-26943	248	39	call	call	NOUN
fbem-26943	248	40	option	option	NOUN
fbem-26943	248	41	prices	price	NOUN
fbem-26943	248	42	using	use	VERB
fbem-26943	248	43	the	the	DET
fbem-26943	248	44	putcall	putcall	NOUN
fbem-26943	248	45	parity	parity	NOUN
fbem-26943	248	46	.	.	PUNCT
fbem-26943	249	1	for	for	ADP
fbem-26943	249	2	each	each	DET
fbem-26943	249	3	maturity	maturity	NOUN
fbem-26943	249	4	on	on	ADP
fbem-26943	249	5	wednesday	wednesday	PROPN
fbem-26943	249	6	and	and	CCONJ
fbem-26943	249	7	thursday	thursday	PROPN
fbem-26943	249	8	,	,	PUNCT
fbem-26943	249	9	we	we	PRON
fbem-26943	249	10	only	only	ADV
fbem-26943	249	11	retain	retain	VERB
fbem-26943	249	12	the	the	DET
fbem-26943	249	13	first	first	ADJ
fbem-26943	249	14	six	six	NUM
fbem-26943	249	15	options	option	NOUN
fbem-26943	249	16	ranking	rank	VERB
fbem-26943	249	17	by	by	ADP
fbem-26943	249	18	trading	trading	NOUN
fbem-26943	249	19	volume	volume	NOUN
fbem-26943	249	20	,	,	PUNCT
fbem-26943	249	21	which	which	PRON
fbem-26943	249	22	ultimately	ultimately	ADV
fbem-26943	249	23	yields	yield	VERB
fbem-26943	249	24	a	a	DET
fbem-26943	249	25	sample	sample	NOUN
fbem-26943	249	26	of	of	ADP
fbem-26943	249	27	22,188	22,188	NUM
fbem-26943	249	28	option	option	NOUN
fbem-26943	249	29	contracts	contract	NOUN
fbem-26943	249	30	.	.	PUNCT
fbem-26943	250	1	3.2	3.2	NUM
fbem-26943	250	2	.	.	PUNCT
fbem-26943	250	3	estimation	estimation	NOUN
fbem-26943	250	4	method	method	NOUN
fbem-26943	250	5	for	for	ADP
fbem-26943	250	6	option	option	NOUN
fbem-26943	250	7	pricing	pricing	NOUN
fbem-26943	250	8	,	,	PUNCT
fbem-26943	250	9	there	there	PRON
fbem-26943	250	10	are	be	VERB
fbem-26943	250	11	two	two	NUM
fbem-26943	250	12	prevalent	prevalent	ADJ
fbem-26943	250	13	methods	method	NOUN
fbem-26943	250	14	are	be	AUX
fbem-26943	250	15	employed	employ	VERB
fbem-26943	250	16	to	to	PART
fbem-26943	250	17	determine	determine	VERB
fbem-26943	250	18	the	the	DET
fbem-26943	250	19	model	model	NOUN
fbem-26943	250	20	parameters	parameter	NOUN
fbem-26943	250	21	.	.	PUNCT
fbem-26943	251	1	the	the	DET
fbem-26943	251	2	first	first	ADJ
fbem-26943	251	3	method	method	NOUN
fbem-26943	251	4	focuses	focus	VERB
fbem-26943	251	5	on	on	ADP
fbem-26943	251	6	minimizing	minimize	VERB
fbem-26943	251	7	pricing	pricing	NOUN
fbem-26943	251	8	errors	error	NOUN
fbem-26943	251	9	only	only	ADV
fbem-26943	251	10	based	base	VERB
fbem-26943	251	11	on	on	ADP
fbem-26943	251	12	option	option	NOUN
fbem-26943	251	13	data	datum	NOUN
fbem-26943	251	14	,	,	PUNCT
fbem-26943	251	15	while	while	SCONJ
fbem-26943	251	16	the	the	DET
fbem-26943	251	17	second	second	ADJ
fbem-26943	251	18	approach	approach	NOUN
fbem-26943	251	19	involves	involve	VERB
fbem-26943	251	20	a	a	DET
fbem-26943	251	21	combined	combine	VERB
fbem-26943	251	22	estimation	estimation	NOUN
fbem-26943	251	23	that	that	PRON
fbem-26943	251	24	incorporates	incorporate	VERB
fbem-26943	251	25	both	both	DET
fbem-26943	251	26	the	the	DET
fbem-26943	251	27	returns	return	NOUN
fbem-26943	251	28	of	of	ADP
fbem-26943	251	29	the	the	DET
fbem-26943	251	30	underlying	underlie	VERB
fbem-26943	251	31	assets	asset	NOUN
fbem-26943	251	32	and	and	CCONJ
fbem-26943	251	33	the	the	DET
fbem-26943	251	34	option	option	NOUN
fbem-26943	251	35	data	datum	NOUN
fbem-26943	251	36	.	.	PUNCT
fbem-26943	252	1	the	the	DET
fbem-26943	252	2	latter	latter	ADJ
fbem-26943	252	3	method	method	NOUN
fbem-26943	252	4	leverages	leverage	NOUN
fbem-26943	252	5	both	both	CCONJ
fbem-26943	252	6	physical	physical	ADJ
fbem-26943	252	7	and	and	CCONJ
fbem-26943	252	8	risk	risk	NOUN
fbem-26943	252	9	-	-	PUNCT
fbem-26943	252	10	neutral	neutral	ADJ
fbem-26943	252	11	information	information	NOUN
fbem-26943	252	12	to	to	PART
fbem-26943	252	13	calibrate	calibrate	VERB
fbem-26943	252	14	the	the	DET
fbem-26943	252	15	parameters	parameter	NOUN
fbem-26943	252	16	of	of	ADP
fbem-26943	252	17	the	the	DET
fbem-26943	252	18	models	model	NOUN
fbem-26943	252	19	.	.	PUNCT
fbem-26943	253	1	the	the	DET
fbem-26943	253	2	parameters	parameter	NOUN
fbem-26943	253	3	to	to	PART
fbem-26943	253	4	be	be	AUX
fbem-26943	253	5	estimated	estimate	VERB
fbem-26943	253	6	for	for	ADP
fbem-26943	253	7	option	option	NOUN
fbem-26943	253	8	pricing	pricing	NOUN
fbem-26943	253	9	using	use	VERB
fbem-26943	253	10	the	the	DET
fbem-26943	253	11	regarch	regarch	NOUN
fbem-26943	253	12	model	model	NOUN
fbem-26943	253	13	can	can	AUX
fbem-26943	253	14	be	be	AUX
fbem-26943	253	15	expressed	express	VERB
fbem-26943	253	16	:	:	PUNCT
fbem-26943	253	17	1	1	NUM
fbem-26943	253	18	2	2	NUM
fbem-26943	253	19	1	1	NUM
fbem-26943	253	20	2	2	NUM
fbem-26943	253	21	1	1	NUM
fbem-26943	253	22	{	{	PUNCT
fbem-26943	253	23	,	,	PUNCT
fbem-26943	253	24	,	,	PUNCT
fbem-26943	253	25	,	,	PUNCT
fbem-26943	253	26	,	,	PUNCT
fbem-26943	253	27	,	,	PUNCT
fbem-26943	253	28	,	,	PUNCT
fbem-26943	253	29	,	,	PUNCT
fbem-26943	253	30	,	,	PUNCT
fbem-26943	253	31	,	,	PUNCT
fbem-26943	253	32	,	,	PUNCT
fbem-26943	253	33	log	log	VERB
fbem-26943	253	34	,	,	PUNCT
fbem-26943	253	35	,	,	PUNCT
fbem-26943	253	36	}	}	PUNCT
fbem-26943	253	37	u	u	NOUN
fbem-26943	254	1	e	e	NOUN
fbem-26943	254	2	d	d	X
fbem-26943	254	3	d	d	PROPN
fbem-26943	254	4	h	h	ADV
fbem-26943	254	5			PROPN
fbem-26943	254	6			NOUN
fbem-26943	254	7			NOUN
fbem-26943	254	8			NOUN
fbem-26943	254	9			ADP
fbem-26943	254	10			NOUN
fbem-26943	254	11			PUNCT
fbem-26943	254	12			VERB
fbem-26943	254	13			NOUN
fbem-26943	254	14	=	=	PUNCT
fbem-26943	254	15	where	where	SCONJ
fbem-26943	254	16	e	e	X
fbem-26943	254	17			PROPN
fbem-26943	254	18	denotes	denote	VERB
fbem-26943	254	19	the	the	DET
fbem-26943	254	20	vega	vega	PROPN
fbem-26943	254	21	-	-	PUNCT
fbem-26943	254	22	weighted	weight	VERB
fbem-26943	254	23	pricing	pricing	NOUN
fbem-26943	254	24	standard	standard	NOUN
fbem-26943	254	25	error	error	NOUN
fbem-26943	254	26	for	for	ADP
fbem-26943	254	27	{	{	PUNCT
fbem-26943	254	28	|	|	ADV
fbem-26943	254	29	1	1	NUM
fbem-26943	254	30	,	,	PUNCT
fbem-26943	254	31	2	2	NUM
fbem-26943	254	32	,	,	PUNCT
fbem-26943	254	33	,	,	PUNCT
fbem-26943	254	34	}	}	PUNCT
fbem-26943	254	35	,	,	PUNCT
fbem-26943	254	36	t	t	PROPN
fbem-26943	254	37	t	t	PROPN
fbem-26943	254	38	r	r	NOUN
fbem-26943	254	39	t	t	NOUN
fbem-26943	254	40	trv	trv	PROPN
fbem-26943	254	41	=	=	SYM
fbem-26943	254	42			PROPN
fbem-26943	254	43	and	and	CCONJ
fbem-26943	254	44	|	|	ADV
fbem-26943	254	45	1	1	NUM
fbem-26943	254	46	,	,	PUNCT
fbem-26943	254	47	2	2	NUM
fbem-26943	254	48	{	{	PUNCT
fbem-26943	254	49	,	,	PUNCT
fbem-26943	254	50	,	,	PUNCT
fbem-26943	254	51	}	}	PUNCT
fbem-26943	254	52	i	i	PRON
fbem-26943	254	53	iopti	iopti	VERB
fbem-26943	254	54	non	non	NOUN
fbem-26943	254	55	=	=	PROPN
fbem-26943	254	56			PROPN
fbem-26943	254	57	.	.	PUNCT
fbem-26943	255	1	,	,	PUNCT
fbem-26943	255	2	,	,	PUNCT
fbem-26943	255	3	(	(	PUNCT
fbem-26943	255	4	,	,	PUNCT
fbem-26943	255	5	,	,	PUNCT
fbem-26943	255	6	;	;	PUNCT
fbem-26943	255	7	)	)	PUNCT
fbem-26943	255	8	(	(	PUNCT
fbem-26943	255	9	(	(	PUNCT
fbem-26943	255	10	;	;	PUNCT
fbem-26943	255	11	,	,	PUNCT
fbem-26943	255	12	)	)	PUNCT
fbem-26943	255	13	(	(	PUNCT
fbem-26943	255	14	;	;	PUNCT
fbem-26943	255	15	,	,	PUNCT
fbem-26943	255	16	,	,	PUNCT
fbem-26943	255	17	)	)	PUNCT
fbem-26943	255	18	,	,	PUNCT
fbem-26943	255	19	;	;	PUNCT
fbem-26943	255	20	)	)	PUNCT
fbem-26943	255	21	r	r	NOUN
fbem-26943	255	22	x	x	PUNCT
fbem-26943	255	23	o	o	NOUN
fbem-26943	255	24	t	t	NOUN
fbem-26943	255	25	t	t	X
fbem-26943	256	1	i	i	PRON
fbem-26943	256	2	r	r	NOUN
fbem-26943	256	3	t	t	NOUN
fbem-26943	256	4	t	t	NOUN
fbem-26943	256	5	t	t	X
fbem-26943	256	6	o	o	X
fbem-26943	257	1	i	i	PRON
fbem-26943	257	2	t	t	X
fbem-26943	257	3	tx	tx	NOUN
fbem-26943	257	4	l	l	NOUN
fbem-26943	257	5	r	r	NOUN
fbem-26943	257	6	rv	rv	NOUN
fbem-26943	257	7	option	option	NOUN
fbem-26943	257	8	l	l	NOUN
fbem-26943	257	9	r	r	NOUN
fbem-26943	257	10	l	l	NOUN
fbem-26943	257	11	rv	rv	NOUN
fbem-26943	257	12	r	r	NOUN
fbem-26943	257	13	l	l	NOUN
fbem-26943	257	14	option	option	NOUN
fbem-26943	257	15	r	r	NOUN
fbem-26943	257	16	rv	rv	NOUN
fbem-26943	257	17			NOUN
fbem-26943	257	18			NOUN
fbem-26943	257	19	+	+	PUNCT
fbem-26943	257	20			PROPN
fbem-26943	257	21			NOUN
fbem-26943	257	22	=	=	PUNCT
fbem-26943	257	23	+	+	CCONJ
fbem-26943	257	24	(	(	PUNCT
fbem-26943	257	25	35	35	NUM
fbem-26943	257	26	)	)	PUNCT
fbem-26943	257	27	with	with	ADP
fbem-26943	257	28	1	1	NUM
fbem-26943	257	29	2	2	NUM
fbem-26943	257	30	1	1	NUM
fbem-26943	257	31	1	1	NUM
fbem-26943	257	32	log(2	log(2	NOUN
fbem-26943	257	33	)	)	PUNCT
fbem-26943	257	34	log	log	NOUN
fbem-26943	257	35	(	(	PUNCT
fbem-26943	257	36	)	)	PUNCT
fbem-26943	257	37	2	2	NUM
fbem-26943	257	38	2	2	NUM
fbem-26943	257	39	1	1	NUM
fbem-26943	257	40	(	(	PUNCT
fbem-26943	257	41	)	)	PUNCT
fbem-26943	257	42	2	2	NUM
fbem-26943	257	43	,	,	PUNCT
fbem-26943	257	44	2	2	NUM
fbem-26943	257	45	t	t	NOUN
fbem-26943	257	46	r	r	NOUN
fbem-26943	257	47	t	t	PROPN
fbem-26943	257	48	t	t	PROPN
fbem-26943	258	1	t	t	PROPN
fbem-26943	259	1	t	t	PROPN
fbem-26943	260	1	t	t	PROPN
fbem-26943	261	1	t	t	PROPN
fbem-26943	262	1	t	t	PROPN
fbem-26943	262	2	t	t	PROPN
fbem-26943	262	3	t	t	NOUN
fbem-26943	262	4	h	h	NOUN
fbem-26943	262	5	r	r	NOUN
fbem-26943	262	6	r	r	NOUN
fbem-26943	262	7	h	h	NOUN
fbem-26943	262	8	h	h	NOUN
fbem-26943	262	9	h	h	NOUN
fbem-26943	263	1	l	l	PROPN
fbem-26943	263	2			PROPN
fbem-26943	263	3			X
fbem-26943	263	4	=	=	NOUN
fbem-26943	263	5	=	=	PUNCT
fbem-26943	263	6	=	=	PUNCT
fbem-26943	264	1	−	−	PROPN
fbem-26943	264	2	−	−	NUM
fbem-26943	265	1	−	−	PROPN
fbem-26943	265	2	−	−	PROPN
fbem-26943	266	1	+	+	CCONJ
fbem-26943	266	2	−	−	PROPN
fbem-26943	266	3			X
fbem-26943	266	4			X
fbem-26943	266	5	2	2	NUM
fbem-26943	266	6	1	1	NUM
fbem-26943	266	7	2	2	NUM
fbem-26943	266	8	2	2	NUM
fbem-26943	266	9	1	1	NUM
fbem-26943	266	10	2	2	NUM
fbem-26943	266	11	2	2	NUM
fbem-26943	266	12	1	1	NUM
fbem-26943	266	13	log(2	log(2	NOUN
fbem-26943	266	14	)	)	PUNCT
fbem-26943	266	15	log	log	NOUN
fbem-26943	266	16	(	(	PUNCT
fbem-26943	266	17	)	)	PUNCT
fbem-26943	266	18	2	2	NUM
fbem-26943	266	19	2	2	NUM
fbem-26943	266	20	(	(	PUNCT
fbem-26943	266	21	log	log	NOUN
fbem-26943	266	22	log	log	NOUN
fbem-26943	266	23	(	(	PUNCT
fbem-26943	266	24	1	1	NUM
fbem-26943	266	25	)	)	PUNCT
fbem-26943	266	26	)	)	PUNCT
fbem-26943	266	27	,	,	PUNCT
fbem-26943	266	28	2	2	NUM
fbem-26943	266	29	t	t	NOUN
fbem-26943	266	30	x	x	SYM
fbem-26943	266	31	u	u	NOUN
fbem-26943	266	32	t	t	PROPN
fbem-26943	266	33	t	t	PROPN
fbem-26943	266	34	t	t	PROPN
fbem-26943	266	35	t	t	PROPN
fbem-26943	266	36	t	t	PROPN
fbem-26943	266	37	t	t	PROPN
fbem-26943	266	38	t	t	PROPN
fbem-26943	266	39	u	u	PROPN
fbem-26943	266	40	t	t	PROPN
fbem-26943	266	41	t	t	PROPN
fbem-26943	266	42	rv	rv	PROPN
fbem-26943	267	1	l	l	NOUN
fbem-26943	268	1	h	h	NOUN
fbem-26943	269	1	d	d	NOUN
fbem-26943	269	2	z	z	NOUN
fbem-26943	270	1	d	d	X
fbem-26943	270	2	z	z	PROPN
fbem-26943	270	3			ADJ
fbem-26943	270	4			NOUN
fbem-26943	270	5			NOUN
fbem-26943	270	6			NOUN
fbem-26943	270	7			X
fbem-26943	270	8	=	=	SYM
fbem-26943	270	9	=	=	PUNCT
fbem-26943	270	10	−	−	NOUN
fbem-26943	270	11	−	−	PROPN
fbem-26943	270	12	=	=	SYM
fbem-26943	271	1	−	−	PROPN
fbem-26943	271	2	−	−	PROPN
fbem-26943	271	3	−	−	PROPN
fbem-26943	271	4	−	−	PROPN
fbem-26943	271	5	−	−	PROPN
fbem-26943	271	6	−	−	NOUN
fbem-26943	271	7			X
fbem-26943	271	8			X
fbem-26943	271	9	2	2	NUM
fbem-26943	271	10	1	1	NUM
fbem-26943	271	11	2	2	NUM
fbem-26943	271	12	2	2	NUM
fbem-26943	271	13	1	1	NUM
fbem-26943	271	14	log(2	log(2	NOUN
fbem-26943	271	15	)	)	PUNCT
fbem-26943	271	16	log	log	NOUN
fbem-26943	271	17	(	(	PUNCT
fbem-26943	271	18	)	)	PUNCT
fbem-26943	271	19	2	2	NUM
fbem-26943	271	20	2	2	NUM
fbem-26943	271	21	(	(	PUNCT
fbem-26943	271	22	(	(	PUNCT
fbem-26943	271	23	)	)	PUNCT
fbem-26943	271	24	/	/	SYM
fbem-26943	271	25	)	)	PUNCT
fbem-26943	271	26	,	,	PUNCT
fbem-26943	271	27	2	2	NUM
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fbem-26943	271	29	o	o	NOUN
fbem-26943	271	30	e	e	NOUN
fbem-26943	271	31	i	i	PRON
fbem-26943	271	32	mod	mod	PROPN
fbem-26943	271	33	mktn	mktn	PROPN
fbem-26943	272	1	i	i	PROPN
fbem-26943	272	2	ii	ii	VERB
fbem-26943	273	1	i	i	NOUN
fbem-26943	273	2	e	e	PROPN
fbem-26943	273	3	n	n	CCONJ
fbem-26943	273	4	n	n	PROPN
fbem-26943	273	5	p	p	NOUN
fbem-26943	273	6	p	p	X
fbem-26943	273	7	veg	veg	NOUN
fbem-26943	273	8	l	l	NOUN
fbem-26943	273	9	a	a	DET
fbem-26943	273	10			ADJ
fbem-26943	273	11			X
fbem-26943	273	12			X
fbem-26943	273	13	=	=	SYM
fbem-26943	273	14	=	=	PUNCT
fbem-26943	273	15	=	=	PUNCT
fbem-26943	274	1	−	−	PROPN
fbem-26943	274	2	−	−	NOUN
fbem-26943	274	3	−	−	PROPN
fbem-26943	274	4	−	−	NOUN
fbem-26943	274	5			X
fbem-26943	274	6			X
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fbem-26943	274	8	d	d	NOUN
fbem-26943	274	9	i	i	PRON
fbem-26943	274	10	mo	mo	PROPN
fbem-26943	274	11	p	p	PROPN
fbem-26943	274	12	is	be	AUX
fbem-26943	274	13	the	the	DET
fbem-26943	274	14	price	price	NOUN
fbem-26943	274	15	obtained	obtain	VERB
fbem-26943	274	16	from	from	ADP
fbem-26943	274	17	the	the	DET
fbem-26943	274	18	pricing	pricing	NOUN
fbem-26943	274	19	formula	formula	NOUN
fbem-26943	274	20	,	,	PUNCT
fbem-26943	274	21	t	t	PROPN
fbem-26943	274	22	i	i	PRON
fbem-26943	274	23	mk	mk	PROPN
fbem-26943	274	24	p	p	PROPN
fbem-26943	274	25	is	be	AUX
fbem-26943	274	26	the	the	DET
fbem-26943	274	27	market	market	NOUN
fbem-26943	274	28	price	price	NOUN
fbem-26943	274	29	of	of	ADP
fbem-26943	274	30	option	option	NOUN
fbem-26943	274	31	i	i	PRON
fbem-26943	274	32	,	,	PUNCT
fbem-26943	274	33	and	and	CCONJ
fbem-26943	274	34	the	the	DET
fbem-26943	274	35	i	i	PROPN
fbem-26943	274	36	vega	vega	PROPN
fbem-26943	274	37	denotes	denote	VERB
fbem-26943	274	38	the	the	DET
fbem-26943	274	39	black	black	NOUN
fbem-26943	274	40	-	-	PUNCT
fbem-26943	274	41	scholes	schole	NOUN
fbem-26943	274	42	vega	vega	PROPN
fbem-26943	274	43	calculated	calculate	VERB
fbem-26943	274	44	by	by	ADP
fbem-26943	274	45	the	the	DET
fbem-26943	274	46	t	t	NOUN
fbem-26943	275	1	i	i	PRON
fbem-26943	275	2	mk	mk	PROPN
fbem-26943	275	3	p	p	NOUN
fbem-26943	275	4	,	,	PUNCT
fbem-26943	275	5	which	which	PRON
fbem-26943	275	6	measures	measure	VERB
fbem-26943	275	7	the	the	DET
fbem-26943	275	8	sensitivity	sensitivity	NOUN
fbem-26943	275	9	of	of	ADP
fbem-26943	275	10	the	the	DET
fbem-26943	275	11	option	option	NOUN
fbem-26943	275	12	to	to	PART
fbem-26943	275	13	changes	change	NOUN
fbem-26943	275	14	in	in	ADP
fbem-26943	275	15	implied	imply	VERB
fbem-26943	275	16	volatility	volatility	NOUN
fbem-26943	275	17	.	.	PUNCT
fbem-26943	276	1	the	the	DET
fbem-26943	276	2	fact	fact	NOUN
fbem-26943	276	3	that	that	SCONJ
fbem-26943	276	4	i	i	PRON
fbem-26943	276	5	vega	vega	VERB
fbem-26943	276	6	is	be	AUX
fbem-26943	276	7	independent	independent	ADJ
fbem-26943	276	8	of	of	ADP
fbem-26943	276	9	model	model	NOUN
fbem-26943	276	10	parameters	parameter	NOUN
fbem-26943	276	11	significantly	significantly	ADV
fbem-26943	276	12	accelerates	accelerate	VERB
fbem-26943	276	13	the	the	DET
fbem-26943	276	14	estimation	estimation	NOUN
fbem-26943	276	15	procedure	procedure	NOUN
fbem-26943	276	16	.	.	PUNCT
fbem-26943	277	1	thus	thus	ADV
fbem-26943	277	2	,	,	PUNCT
fbem-26943	277	3	(	(	PUNCT
fbem-26943	277	4	)	)	PUNCT
fbem-26943	277	5	/	/	SYM
fbem-26943	277	6	mod	mod	NOUN
fbem-26943	277	7	m	m	VERB
fbem-26943	277	8	i	i	INTJ
fbem-26943	278	1	i	i	PRON
fbem-26943	278	2	kt	kt	VERB
fbem-26943	279	1	i	i	PRON
fbem-26943	279	2	p	p	PROPN
fbem-26943	279	3	p	p	PRON
fbem-26943	279	4	vega−	vega−	NOUN
fbem-26943	279	5	serves	serve	VERB
fbem-26943	279	6	as	as	ADP
fbem-26943	279	7	an	an	DET
fbem-26943	279	8	approximation	approximation	NOUN
fbem-26943	279	9	of	of	ADP
fbem-26943	279	10	the	the	DET
fbem-26943	279	11	difference	difference	NOUN
fbem-26943	279	12	in	in	ADP
fbem-26943	279	13	implied	imply	VERB
fbem-26943	279	14	volatilities	volatility	NOUN
fbem-26943	279	15	.	.	PUNCT
fbem-26943	280	1	3.3	3.3	NUM
fbem-26943	280	2	.	.	PUNCT
fbem-26943	281	1	full	full	ADJ
fbem-26943	281	2	-	-	PUNCT
fbem-26943	281	3	sample	sample	NOUN
fbem-26943	281	4	parameter	parameter	NOUN
fbem-26943	281	5	estimates	estimate	VERB
fbem-26943	281	6	the	the	DET
fbem-26943	281	7	parameters	parameter	NOUN
fbem-26943	281	8	under	under	ADP
fbem-26943	281	9	physical	physical	ADJ
fbem-26943	281	10	measures	measure	NOUN
fbem-26943	281	11	are	be	AUX
fbem-26943	281	12	ascertained	ascertain	VERB
fbem-26943	281	13	by	by	ADP
fbem-26943	281	14	using	use	VERB
fbem-26943	281	15	the	the	DET
fbem-26943	281	16	joint	joint	ADJ
fbem-26943	281	17	maximum	maximum	ADJ
fbem-26943	281	18	likelihood	likelihood	NOUN
fbem-26943	281	19	estimation	estimation	NOUN
fbem-26943	281	20	method	method	NOUN
fbem-26943	281	21	.	.	PUNCT
fbem-26943	282	1	table	table	NOUN
fbem-26943	282	2	1	1	NUM
fbem-26943	282	3	reports	report	VERB
fbem-26943	282	4	the	the	DET
fbem-26943	282	5	estimation	estimation	NOUN
fbem-26943	282	6	results	result	NOUN
fbem-26943	282	7	of	of	ADP
fbem-26943	282	8	the	the	DET
fbem-26943	282	9	regarch	regarch	NOUN
fbem-26943	282	10	model	model	NOUN
fbem-26943	282	11	and	and	CCONJ
fbem-26943	282	12	the	the	DET
fbem-26943	282	13	competing	compete	VERB
fbem-26943	282	14	models	model	NOUN
fbem-26943	282	15	.	.	PUNCT
fbem-26943	283	1	the	the	DET
fbem-26943	283	2	coefficients	coefficient	NOUN
fbem-26943	283	3	are	be	AUX
fbem-26943	283	4	shown	show	VERB
fbem-26943	283	5	for	for	ADP
fbem-26943	283	6	each	each	DET
fbem-26943	283	7	model	model	NOUN
fbem-26943	283	8	and	and	CCONJ
fbem-26943	283	9	the	the	DET
fbem-26943	283	10	corresponding	corresponding	ADJ
fbem-26943	283	11	standard	standard	ADJ
fbem-26943	283	12	errors	error	NOUN
fbem-26943	283	13	are	be	AUX
fbem-26943	283	14	presented	present	VERB
fbem-26943	283	15	in	in	ADP
fbem-26943	283	16	parentheses	parenthesis	NOUN
fbem-26943	283	17	.	.	PUNCT
fbem-26943	284	1	allowing	allow	VERB
fbem-26943	284	2	for	for	ADP
fbem-26943	284	3	compare	compare	VERB
fbem-26943	284	4	the	the	DET
fbem-26943	284	5	efficiency	efficiency	NOUN
fbem-26943	284	6	of	of	ADP
fbem-26943	284	7	the	the	DET
fbem-26943	284	8	models	model	NOUN
fbem-26943	284	9	directly	directly	ADV
fbem-26943	284	10	,	,	PUNCT
fbem-26943	284	11	table	table	NOUN
fbem-26943	284	12	1	1	NUM
fbem-26943	284	13	also	also	ADV
fbem-26943	284	14	reports	report	VERB
fbem-26943	284	15	the	the	DET
fbem-26943	284	16	log	log	NOUN
fbem-26943	284	17	-	-	PUNCT
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fbem-26943	284	19	,	,	PUNCT
fbem-26943	284	20	l	l	NOUN
fbem-26943	284	21	,	,	PUNCT
fbem-26943	284	22	and	and	CCONJ
fbem-26943	284	23	the	the	DET
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fbem-26943	284	25	persistence	persistence	NOUN
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fbem-26943	284	28	and	and	CCONJ
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fbem-26943	284	30	-	-	PUNCT
fbem-26943	284	31	neutral	neutral	ADJ
fbem-26943	284	32	measures	measure	NOUN
fbem-26943	284	33	,	,	PUNCT
fbem-26943	284	34			NOUN
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fbem-26943	284	37			ADJ
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fbem-26943	284	41	1	1	NUM
fbem-26943	284	42	.	.	PUNCT
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fbem-26943	285	4	ngarch	ngarch	PROPN
fbem-26943	285	5	gjr	gjr	PROPN
fbem-26943	285	6	-	-	PUNCT
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fbem-26943	285	8	regarch	regarch	NOUN
fbem-26943	285	9			X
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fbem-26943	285	11	(	(	PUNCT
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fbem-26943	285	13	)	)	PUNCT
fbem-26943	285	14	-0.0132	-0.0132	NOUN
fbem-26943	285	15	(	(	PUNCT
fbem-26943	285	16	0.0056	0.0056	NUM
fbem-26943	285	17	)	)	PUNCT
fbem-26943	285	18	0.6739	0.6739	NUM
fbem-26943	285	19	(	(	PUNCT
fbem-26943	285	20	0.0023	0.0023	NUM
fbem-26943	285	21	)	)	PUNCT
fbem-26943	285	22	0.0059	0.0059	NUM
fbem-26943	285	23	(	(	PUNCT
fbem-26943	285	24	0.0015	0.0015	NUM
fbem-26943	285	25	)	)	PUNCT
fbem-26943	286	1			PROPN
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fbem-26943	286	3	(	(	PUNCT
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fbem-26943	286	5	)	)	PUNCT
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fbem-26943	286	7	(	(	PUNCT
fbem-26943	286	8	0.0009	0.0009	NUM
fbem-26943	286	9	)	)	PUNCT
fbem-26943	286	10	-0.4632	-0.4632	NOUN
fbem-26943	286	11	(	(	PUNCT
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fbem-26943	286	13	)	)	PUNCT
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fbem-26943	286	15	(	(	PUNCT
fbem-26943	286	16	0.0022	0.0022	NUM
fbem-26943	286	17	)	)	PUNCT
fbem-26943	286	18			NOUN
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fbem-26943	286	20	(	(	PUNCT
fbem-26943	286	21	0.0013	0.0013	NUM
fbem-26943	286	22	)	)	PUNCT
fbem-26943	286	23	0.7856	0.7856	PROPN
fbem-26943	286	24	(	(	PUNCT
fbem-26943	286	25	0.0019	0.0019	NUM
fbem-26943	286	26	)	)	PUNCT
fbem-26943	286	27	0.9532	0.9532	NUM
fbem-26943	286	28	(	(	PUNCT
fbem-26943	286	29	0.0003	0.0003	NUM
fbem-26943	286	30	)	)	PUNCT
fbem-26943	286	31	0.9816	0.9816	NUM
fbem-26943	286	32	(	(	PUNCT
fbem-26943	286	33	0.0037	0.0037	NUM
fbem-26943	286	34	)	)	PUNCT
fbem-26943	286	35	1	1	NUM
fbem-26943	286	36			NOUN
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fbem-26943	286	38	(	(	PUNCT
fbem-26943	286	39	0.0012	0.0012	NUM
fbem-26943	286	40	)	)	PUNCT
fbem-26943	286	41	0.0578	0.0578	NUM
fbem-26943	286	42	(	(	PUNCT
fbem-26943	286	43	0.0023	0.0023	NUM
fbem-26943	286	44	)	)	PUNCT
fbem-26943	286	45	0.0002	0.0002	NUM
fbem-26943	286	46	(	(	PUNCT
fbem-26943	286	47	0.0000	0.0000	NUM
fbem-26943	286	48	)	)	PUNCT
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fbem-26943	286	50	(	(	PUNCT
fbem-26943	286	51	0.0016	0.0016	NUM
fbem-26943	286	52	)	)	PUNCT
fbem-26943	286	53	2	2	NUM
fbem-26943	286	54			NOUN
fbem-26943	286	55	0.1156	0.1156	NUM
fbem-26943	286	56	(	(	PUNCT
fbem-26943	286	57	0.8913	0.8913	NUM
fbem-26943	286	58	)	)	PUNCT
fbem-26943	286	59	0.0437	0.0437	NUM
fbem-26943	286	60	(	(	PUNCT
fbem-26943	286	61	0.0056	0.0056	NUM
fbem-26943	286	62	)	)	PUNCT
fbem-26943	286	63	0.0479	0.0479	NUM
fbem-26943	286	64	(	(	PUNCT
fbem-26943	286	65	0.0046	0.0046	NUM
fbem-26943	286	66	)	)	PUNCT
fbem-26943	286	67	0.0075	0.0075	NUM
fbem-26943	286	68	(	(	PUNCT
fbem-26943	286	69	0.0032	0.0032	NUM
fbem-26943	286	70	)	)	PUNCT
fbem-26943	286	71			NUM
fbem-26943	286	72	0.0573	0.0573	NUM
fbem-26943	286	73	(	(	PUNCT
fbem-26943	286	74	0.0019	0.0019	NUM
fbem-26943	286	75	)	)	PUNCT
fbem-26943	286	76			NOUN
fbem-26943	286	77	−0.7318	−0.7318	X
fbem-26943	286	78	(	(	PUNCT
fbem-26943	286	79	0.1252	0.1252	NUM
fbem-26943	286	80	)	)	PUNCT
fbem-26943	286	81			NOUN
fbem-26943	286	82	0.9752	0.9752	NUM
fbem-26943	286	83	(	(	PUNCT
fbem-26943	286	84	0.0235	0.0235	NUM
fbem-26943	286	85	)	)	PUNCT
fbem-26943	286	86	1	1	NUM
fbem-26943	286	87	d	d	NOUN
fbem-26943	286	88	−0.2473	−0.2473	NUM
fbem-26943	286	89	(	(	PUNCT
fbem-26943	286	90	0.0128	0.0128	NUM
fbem-26943	286	91	)	)	PUNCT
fbem-26943	286	92	2	2	NUM
fbem-26943	286	93	d	d	NOUN
fbem-26943	286	94	0.3692	0.3692	NUM
fbem-26943	286	95	(	(	PUNCT
fbem-26943	286	96	0.0257	0.0257	NUM
fbem-26943	286	97	)	)	PUNCT
fbem-26943	286	98	1	1	NUM
fbem-26943	286	99	log	log	NOUN
fbem-26943	286	100	h	h	NOUN
fbem-26943	286	101	−8.2893	−8.2893	NOUN
fbem-26943	286	102	(	(	PUNCT
fbem-26943	286	103	0.0549	0.0549	NUM
fbem-26943	286	104	)	)	PUNCT
fbem-26943	286	105	−8.1465	−8.1465	NOUN
fbem-26943	286	106	(	(	PUNCT
fbem-26943	286	107	0.0257	0.0257	NUM
fbem-26943	286	108	)	)	PUNCT
fbem-26943	286	109	−9.2304	−9.2304	PROPN
fbem-26943	286	110	(	(	PUNCT
fbem-26943	286	111	0.0295	0.0295	NUM
fbem-26943	286	112	)	)	PUNCT
fbem-26943	286	113	−8.2742	−8.2742	X
fbem-26943	286	114	(	(	PUNCT
fbem-26943	286	115	0.0232	0.0232	NUM
fbem-26943	286	116	)	)	PUNCT
fbem-26943	286	117			VERB
fbem-26943	286	118	0.1538	0.1538	NUM
fbem-26943	286	119	(	(	PUNCT
fbem-26943	286	120	0.0251	0.0251	NUM
fbem-26943	286	121	)	)	PUNCT
fbem-26943	286	122			PROPN
fbem-26943	286	123	p	p	NOUN
fbem-26943	286	124	0.9737	0.9737	NUM
fbem-26943	286	125	0.9934	0.9934	NUM
fbem-26943	286	126	0.9248	0.9248	NUM
fbem-26943	286	127	0.9842	0.9842	NUM
fbem-26943	286	128			ADP
fbem-26943	286	129	0.9741	0.9741	NUM
fbem-26943	286	130	0.9934	0.9934	NUM
fbem-26943	286	131	0.9252	0.9252	NUM
fbem-26943	286	132	0	0	NUM
fbem-26943	286	133	.	.	PUNCT
fbem-26943	286	134	9842	9842	NUM
fbem-26943	286	135	l	l	NOUN
fbem-26943	286	136	39273.6	39273.6	NUM
fbem-26943	286	137	3374.7	3374.7	NUM
fbem-26943	286	138	42738.9	42738.9	NUM
fbem-26943	286	139	44739.2	44739.2	NUM
fbem-26943	286	140	100	100	NUM
fbem-26943	286	141	e	e	X
fbem-26943	286	142			PROPN
fbem-26943	286	143			NOUN
fbem-26943	286	144	4.2383	4.2383	NUM
fbem-26943	286	145	3.1047	3.1047	NUM
fbem-26943	286	146	3.3485	3.3485	NUM
fbem-26943	286	147	2.2983	2.2983	NUM
fbem-26943	286	148	note	note	NOUN
fbem-26943	286	149	:	:	PUNCT
fbem-26943	286	150	the	the	DET
fbem-26943	286	151	number	number	NOUN
fbem-26943	286	152	in	in	ADP
fbem-26943	286	153	parenthesis	parenthesis	NOUN
fbem-26943	286	154	is	be	AUX
fbem-26943	286	155	the	the	DET
fbem-26943	286	156	standard	standard	ADJ
fbem-26943	286	157	error	error	NOUN
fbem-26943	286	158	.	.	PUNCT
fbem-26943	287	1	the	the	DET
fbem-26943	287	2	variables	variable	NOUN
fbem-26943	287	3			PROPN
fbem-26943	287	4	p	p	NOUN
fbem-26943	287	5	and	and	CCONJ
fbem-26943	287	6			PROPN
fbem-26943	287	7	are	be	AUX
fbem-26943	287	8	the	the	DET
fbem-26943	287	9	persistence	persistence	NOUN
fbem-26943	287	10	parameters	parameter	NOUN
fbem-26943	287	11	under	under	ADP
fbem-26943	287	12	physical	physical	ADJ
fbem-26943	287	13	and	and	CCONJ
fbem-26943	287	14	risk	risk	NOUN
fbem-26943	287	15	-	-	PUNCT
fbem-26943	287	16	neutral	neutral	ADJ
fbem-26943	287	17	measures	measure	NOUN
fbem-26943	287	18	and	and	CCONJ
fbem-26943	287	19	l	l	NOUN
fbem-26943	287	20	is	be	AUX
fbem-26943	287	21	the	the	DET
fbem-26943	287	22	value	value	NOUN
fbem-26943	287	23	of	of	ADP
fbem-26943	287	24	log	log	NOUN
fbem-26943	287	25	-	-	PUNCT
fbem-26943	287	26	likelihood	likelihood	NOUN
fbem-26943	287	27	function	function	NOUN
fbem-26943	287	28	.	.	PUNCT
fbem-26943	288	1	for	for	ADP
fbem-26943	288	2	each	each	DET
fbem-26943	288	3	model	model	NOUN
fbem-26943	288	4	,	,	PUNCT
fbem-26943	288	5	the	the	DET
fbem-26943	288	6	estimates	estimate	NOUN
fbem-26943	288	7	of	of	ADP
fbem-26943	288	8			NOUN
fbem-26943	288	9	are	be	AUX
fbem-26943	288	10	positive	positive	ADJ
fbem-26943	288	11	and	and	CCONJ
fbem-26943	288	12	statistically	statistically	ADV
fbem-26943	288	13	significant	significant	ADJ
fbem-26943	288	14	,	,	PUNCT
fbem-26943	288	15	suggesting	suggest	VERB
fbem-26943	288	16	positive	positive	ADJ
fbem-26943	288	17	volatility	volatility	NOUN
fbem-26943	288	18	risk	risk	NOUN
fbem-26943	288	19	compensation	compensation	NOUN
fbem-26943	288	20	.	.	PUNCT
fbem-26943	289	1	the	the	DET
fbem-26943	289	2			PROPN
fbem-26943	289	3	of	of	ADP
fbem-26943	289	4	most	most	ADJ
fbem-26943	289	5	models	model	NOUN
fbem-26943	289	6	is	be	AUX
fbem-26943	289	7	close	close	ADJ
fbem-26943	289	8	to	to	ADP
fbem-26943	289	9	one	one	NUM
fbem-26943	289	10	,	,	PUNCT
fbem-26943	289	11	which	which	PRON
fbem-26943	289	12	indicates	indicate	VERB
fbem-26943	289	13	the	the	DET
fbem-26943	289	14	strong	strong	ADJ
fbem-26943	289	15	persistence	persistence	NOUN
fbem-26943	289	16	of	of	ADP
fbem-26943	289	17	volatility	volatility	NOUN
fbem-26943	289	18	dynamic	dynamic	ADJ
fbem-26943	289	19	.	.	PUNCT
fbem-26943	290	1	the	the	DET
fbem-26943	290	2	parameter	parameter	NOUN
fbem-26943	290	3	estimates	estimate	NOUN
fbem-26943	290	4	,	,	PUNCT
fbem-26943	290	5	1	1	NUM
fbem-26943	290	6			NOUN
fbem-26943	290	7	,	,	PUNCT
fbem-26943	290	8	2	2	NUM
fbem-26943	290	9			NOUN
fbem-26943	290	10	,	,	PUNCT
fbem-26943	290	11	1	1	NUM
fbem-26943	290	12	d	d	NOUN
fbem-26943	290	13	and	and	CCONJ
fbem-26943	290	14	2	2	NUM
fbem-26943	290	15	d	d	NOUN
fbem-26943	290	16	,	,	PUNCT
fbem-26943	290	17	associated	associate	VERB
fbem-26943	290	18	with	with	ADP
fbem-26943	290	19	the	the	DET
fbem-26943	290	20	leverage	leverage	NOUN
fbem-26943	290	21	function	function	NOUN
fbem-26943	290	22	reflect	reflect	VERB
fbem-26943	290	23	that	that	SCONJ
fbem-26943	290	24	the	the	DET
fbem-26943	290	25	models	model	NOUN
fbem-26943	290	26	exhibit	exhibit	VERB
fbem-26943	290	27	a	a	DET
fbem-26943	290	28	significant	significant	ADJ
fbem-26943	290	29	leverage	leverage	NOUN
fbem-26943	290	30	effect	effect	NOUN
fbem-26943	290	31	,	,	PUNCT
fbem-26943	290	32	which	which	PRON
fbem-26943	290	33	is	be	AUX
fbem-26943	290	34	in	in	ADP
fbem-26943	290	35	line	line	NOUN
fbem-26943	290	36	with	with	ADP
fbem-26943	290	37	previous	previous	ADJ
fbem-26943	290	38	studies	study	NOUN
fbem-26943	290	39	(	(	PUNCT
fbem-26943	290	40	see	see	VERB
fbem-26943	290	41	hansen	hansen	PROPN
fbem-26943	290	42	et	et	PROPN
fbem-26943	290	43	al	al	PROPN
fbem-26943	290	44	.	.	PUNCT
fbem-26943	291	1	[	[	X
fbem-26943	291	2	14	14	NUM
fbem-26943	291	3	]	]	SYM
fbem-26943	291	4	)	)	PUNCT
fbem-26943	291	5	.	.	PUNCT
fbem-26943	292	1	the	the	DET
fbem-26943	292	2	parameter	parameter	NOUN
fbem-26943	292	3	,	,	PUNCT
fbem-26943	292	4			NUM
fbem-26943	292	5	,	,	PUNCT
fbem-26943	292	6	measures	measure	VERB
fbem-26943	292	7	the	the	DET
fbem-26943	292	8	significant	significant	ADJ
fbem-26943	292	9	contribution	contribution	NOUN
fbem-26943	292	10	of	of	ADP
fbem-26943	292	11	realized	realize	VERB
fbem-26943	292	12	variance	variance	NOUN
fbem-26943	292	13	,	,	PUNCT
fbem-26943	292	14	illustrating	illustrate	VERB
fbem-26943	292	15	the	the	DET
fbem-26943	292	16	importance	importance	NOUN
fbem-26943	292	17	of	of	ADP
fbem-26943	292	18	realized	realize	VERB
fbem-26943	292	19	measures	measure	NOUN
fbem-26943	292	20	.	.	PUNCT
fbem-26943	293	1	the	the	DET
fbem-26943	293	2	volatility	volatility	NOUN
fbem-26943	293	3	risk	risk	NOUN
fbem-26943	293	4	premium	premium	NOUN
fbem-26943	293	5	of	of	ADP
fbem-26943	293	6	regarch	regarch	NOUN
fbem-26943	293	7	model	model	NOUN
fbem-26943	293	8	is	be	AUX
fbem-26943	293	9	positive	positive	ADJ
fbem-26943	293	10	,	,	PUNCT
fbem-26943	293	11	which	which	PRON
fbem-26943	293	12	can	can	AUX
fbem-26943	293	13	be	be	AUX
fbem-26943	293	14	seen	see	VERB
fbem-26943	293	15	from	from	ADP
fbem-26943	293	16	the	the	DET
fbem-26943	293	17	positive	positive	ADJ
fbem-26943	293	18	value	value	NOUN
fbem-26943	293	19	of	of	ADP
fbem-26943	293	20			NOUN
fbem-26943	293	21	.	.	PUNCT
fbem-26943	294	1	the	the	DET
fbem-26943	294	2	smallest	small	ADJ
fbem-26943	294	3	e	e	X
fbem-26943	294	4			PROPN
fbem-26943	294	5	suggests	suggest	VERB
fbem-26943	294	6	the	the	DET
fbem-26943	294	7	minimum	minimum	ADJ
fbem-26943	294	8	vega	vega	PROPN
fbem-26943	294	9	-	-	PUNCT
fbem-26943	294	10	weighted	weight	VERB
fbem-26943	294	11	option	option	NOUN
fbem-26943	294	12	pricing	pricing	NOUN
fbem-26943	294	13	error	error	NOUN
fbem-26943	294	14	for	for	ADP
fbem-26943	294	15	the	the	DET
fbem-26943	294	16	regarch	regarch	NOUN
fbem-26943	294	17	model	model	NOUN
fbem-26943	294	18	.	.	PUNCT
fbem-26943	295	1	the	the	DET
fbem-26943	295	2	competing	compete	VERB
fbem-26943	295	3	models	model	NOUN
fbem-26943	295	4	without	without	ADP
fbem-26943	295	5	realized	realize	VERB
fbem-26943	295	6	measures	measure	NOUN
fbem-26943	295	7	(	(	PUNCT
fbem-26943	295	8	the	the	DET
fbem-26943	295	9	egarch	egarch	NOUN
fbem-26943	295	10	,	,	PUNCT
fbem-26943	295	11	ngarch	ngarch	NOUN
fbem-26943	295	12	,	,	PUNCT
fbem-26943	295	13	and	and	CCONJ
fbem-26943	295	14	gjr	gjr	ADJ
fbem-26943	295	15	-	-	PUNCT
fbem-26943	295	16	garch	garch	NOUN
fbem-26943	295	17	models	model	NOUN
fbem-26943	295	18	)	)	PUNCT
fbem-26943	295	19	all	all	PRON
fbem-26943	295	20	display	display	VERB
fbem-26943	295	21	significantly	significantly	ADV
fbem-26943	295	22	larger	large	ADJ
fbem-26943	295	23	option	option	NOUN
fbem-26943	295	24	pricing	pricing	NOUN
fbem-26943	295	25	errors	error	NOUN
fbem-26943	295	26	.	.	PUNCT
fbem-26943	296	1	additionally	additionally	ADV
fbem-26943	296	2	,	,	PUNCT
fbem-26943	296	3	we	we	PRON
fbem-26943	296	4	find	find	VERB
fbem-26943	296	5	that	that	SCONJ
fbem-26943	296	6			NOUN
fbem-26943	296	7	is	be	AUX
fbem-26943	296	8	generally	generally	ADV
fbem-26943	296	9	larger	large	ADJ
fbem-26943	296	10	than	than	ADP
fbem-26943	296	11			PROPN
fbem-26943	296	12	p	p	NOUN
fbem-26943	296	13	,	,	PUNCT
fbem-26943	296	14	which	which	PRON
fbem-26943	296	15	align	align	VERB
fbem-26943	296	16	with	with	ADP
fbem-26943	296	17	findings	finding	NOUN
fbem-26943	296	18	in	in	ADP
fbem-26943	296	19	the	the	DET
fbem-26943	296	20	option	option	NOUN
fbem-26943	296	21	pricing	pricing	NOUN
fbem-26943	296	22	literature	literature	NOUN
fbem-26943	296	23	that	that	PRON
fbem-26943	296	24	under	under	ADP
fbem-26943	296	25	the	the	DET
fbem-26943	296	26	risk	risk	NOUN
fbem-26943	296	27	-	-	PUNCT
fbem-26943	296	28	neutral	neutral	ADJ
fbem-26943	296	29	measure	measure	NOUN
fbem-26943	296	30	,	,	PUNCT
fbem-26943	296	31	volatility	volatility	NOUN
fbem-26943	296	32	exhibits	exhibit	VERB
fbem-26943	296	33	more	more	ADJ
fbem-26943	296	34	persistence	persistence	NOUN
fbem-26943	296	35	.	.	PUNCT
fbem-26943	297	1	3.4	3.4	NUM
fbem-26943	297	2	.	.	PUNCT
fbem-26943	297	3	in	in	ADP
fbem-26943	297	4	-	-	PUNCT
fbem-26943	297	5	sample	sample	NOUN
fbem-26943	297	6	pricing	pricing	NOUN
fbem-26943	297	7	performance	performance	NOUN
fbem-26943	297	8	in	in	ADP
fbem-26943	297	9	this	this	DET
fbem-26943	297	10	paper	paper	NOUN
fbem-26943	297	11	,	,	PUNCT
fbem-26943	297	12	we	we	PRON
fbem-26943	297	13	assess	assess	VERB
fbem-26943	297	14	the	the	DET
fbem-26943	297	15	pricing	pricing	NOUN
fbem-26943	297	16	performance	performance	NOUN
fbem-26943	297	17	of	of	ADP
fbem-26943	297	18	the	the	DET
fbem-26943	297	19	models	model	NOUN
fbem-26943	297	20	using	use	VERB
fbem-26943	297	21	the	the	DET
fbem-26943	297	22	root	root	NOUN
fbem-26943	297	23	mean	mean	NOUN
fbem-26943	297	24	square	square	NOUN
fbem-26943	297	25	of	of	ADP
fbem-26943	297	26	implied	imply	VERB
fbem-26943	297	27	volatility	volatility	NOUN
fbem-26943	297	28	(	(	PUNCT
fbem-26943	297	29	ivrmse	ivrmse	ADV
fbem-26943	297	30	)	)	PUNCT
fbem-26943	297	31	,	,	PUNCT
fbem-26943	297	32	which	which	PRON
fbem-26943	297	33	is	be	AUX
fbem-26943	297	34	given	give	VERB
fbem-26943	297	35	by	by	ADP
fbem-26943	297	36	2	2	NUM
fbem-26943	297	37	1	1	NUM
fbem-26943	297	38	1	1	NUM
fbem-26943	297	39	100	100	NUM
fbem-26943	297	40	,	,	PUNCT
fbem-26943	297	41	n	n	PRON
fbem-26943	298	1	mod	mod	PROPN
fbem-26943	298	2	mkt	mkt	PROPN
fbem-26943	299	1	i	i	PRON
fbem-26943	300	1	i	i	PRON
fbem-26943	301	1	i	i	PRON
fbem-26943	301	2	iv	iv	VERB
fbem-26943	301	3	ivvr	ivvr	PROPN
fbem-26943	301	4	se	se	PROPN
fbem-26943	302	1	n	n	PROPN
fbem-26943	302	2	i	i	PRON
fbem-26943	302	3	m	m	VERB
fbem-26943	302	4	=	=	ADJ
fbem-26943	303	1			ADJ
fbem-26943	303	2			X
fbem-26943	303	3			NOUN
fbem-26943	303	4	=	=	ADJ
fbem-26943	303	5	−	−	ADV
fbem-26943	303	6	(	(	PUNCT
fbem-26943	303	7	36	36	NUM
fbem-26943	303	8	)	)	PUNCT
fbem-26943	303	9	where	where	SCONJ
fbem-26943	303	10	mod	mod	PROPN
fbem-26943	303	11	i	i	PRON
fbem-26943	303	12	iv	iv	X
fbem-26943	303	13	and	and	CCONJ
fbem-26943	303	14	mkt	mkt	PROPN
fbem-26943	303	15	i	i	PRON
fbem-26943	303	16	iv	iv	VERB
fbem-26943	303	17	represent	represent	VERB
fbem-26943	303	18	the	the	DET
fbem-26943	303	19	model	model	NOUN
fbem-26943	303	20	-	-	PUNCT
fbem-26943	303	21	based	base	VERB
fbem-26943	303	22	implied	imply	VERB
fbem-26943	303	23	volatility	volatility	NOUN
fbem-26943	303	24	and	and	CCONJ
fbem-26943	303	25	market	market	NOUN
fbem-26943	303	26	-	-	PUNCT
fbem-26943	303	27	based	base	VERB
fbem-26943	303	28	implied	imply	VERB
fbem-26943	303	29	volatility	volatility	NOUN
fbem-26943	303	30	,	,	PUNCT
fbem-26943	303	31	respectively	respectively	ADV
fbem-26943	303	32	.	.	PUNCT
fbem-26943	304	1	the	the	DET
fbem-26943	304	2	pricing	pricing	NOUN
fbem-26943	304	3	results	result	NOUN
fbem-26943	304	4	are	be	AUX
fbem-26943	304	5	reported	report	VERB
fbem-26943	304	6	in	in	ADP
fbem-26943	304	7	table	table	NOUN
fbem-26943	304	8	2	2	NUM
fbem-26943	304	9	.	.	PUNCT
fbem-26943	305	1	we	we	PRON
fbem-26943	305	2	also	also	ADV
fbem-26943	305	3	compute	compute	VERB
fbem-26943	305	4	the	the	DET
fbem-26943	305	5	ivrmse	ivrmse	NOUN
fbem-26943	305	6	for	for	ADP
fbem-26943	305	7	option	option	NOUN
fbem-26943	305	8	partitioned	partition	VERB
fbem-26943	305	9	by	by	ADP
fbem-26943	305	10	the	the	DET
fbem-26943	305	11	characteristics	characteristic	NOUN
fbem-26943	305	12	:	:	PUNCT
fbem-26943	305	13	moneyness	moneyness	NOUN
fbem-26943	305	14	and	and	CCONJ
fbem-26943	305	15	time	time	NOUN
fbem-26943	305	16	to	to	ADP
fbem-26943	305	17	maturity	maturity	NOUN
fbem-26943	305	18	.	.	PUNCT
fbem-26943	306	1	the	the	DET
fbem-26943	306	2	resulting	result	VERB
fbem-26943	306	3	ivrmses	ivrmse	NOUN
fbem-26943	306	4	can	can	AUX
fbem-26943	306	5	be	be	AUX
fbem-26943	306	6	used	use	VERB
fbem-26943	306	7	to	to	PART
fbem-26943	306	8	identify	identify	VERB
fbem-26943	306	9	the	the	DET
fbem-26943	306	10	inabilities	inability	NOUN
fbem-26943	306	11	of	of	ADP
fbem-26943	306	12	models	model	NOUN
fbem-26943	306	13	to	to	PART
fbem-26943	306	14	generate	generate	VERB
fbem-26943	306	15	sufficient	sufficient	ADJ
fbem-26943	306	16	leverage	leverage	NOUN
fbem-26943	306	17	effect	effect	NOUN
fbem-26943	306	18	and	and	CCONJ
fbem-26943	306	19	to	to	PART
fbem-26943	306	20	capture	capture	VERB
fbem-26943	306	21	the	the	DET
fbem-26943	306	22	dynamic	dynamic	ADJ
fbem-26943	306	23	properties	property	NOUN
fbem-26943	306	24	.	.	PUNCT
fbem-26943	307	1	the	the	DET
fbem-26943	307	2	total	total	ADJ
fbem-26943	307	3	ivremse	ivremse	NOUN
fbem-26943	307	4	indicates	indicate	VERB
fbem-26943	307	5	that	that	SCONJ
fbem-26943	307	6	the	the	DET
fbem-26943	307	7	regarch	regarch	NOUN
fbem-26943	307	8	model	model	NOUN
fbem-26943	307	9	has	have	VERB
fbem-26943	307	10	the	the	DET
fbem-26943	307	11	smallest	small	ADJ
fbem-26943	307	12	pricing	pricing	NOUN
fbem-26943	307	13	error	error	NOUN
fbem-26943	307	14	,	,	PUNCT
fbem-26943	307	15	while	while	SCONJ
fbem-26943	307	16	the	the	DET
fbem-26943	307	17	ngarch	ngarch	NOUN
fbem-26943	307	18	and	and	CCONJ
fbem-26943	307	19	gjrgarch	gjrgarch	NOUN
fbem-26943	307	20	models	model	NOUN
fbem-26943	307	21	have	have	VERB
fbem-26943	307	22	comparable	comparable	ADJ
fbem-26943	307	23	pricing	pricing	NOUN
fbem-26943	307	24	abilities	ability	NOUN
fbem-26943	307	25	,	,	PUNCT
fbem-26943	307	26	and	and	CCONJ
fbem-26943	307	27	the	the	DET
fbem-26943	307	28	egarch	egarch	NOUN
fbem-26943	307	29	model	model	NOUN
fbem-26943	307	30	performs	perform	VERB
fbem-26943	307	31	the	the	DET
fbem-26943	307	32	worst	bad	ADJ
fbem-26943	307	33	.	.	PUNCT
fbem-26943	308	1	we	we	PRON
fbem-26943	308	2	note	note	VERB
fbem-26943	308	3	that	that	SCONJ
fbem-26943	308	4	the	the	DET
fbem-26943	308	5	regarch	regarch	NOUN
fbem-26943	308	6	model	model	NOUN
fbem-26943	308	7	outperforms	outperform	VERB
fbem-26943	308	8	the	the	DET
fbem-26943	308	9	competing	compete	VERB
fbem-26943	308	10	models	model	NOUN
fbem-26943	308	11	in	in	ADP
fbem-26943	308	12	most	most	ADJ
fbem-26943	308	13	of	of	ADP
fbem-26943	308	14	cases	case	NOUN
fbem-26943	308	15	,	,	PUNCT
fbem-26943	308	16	especially	especially	ADV
fbem-26943	308	17	for	for	ADP
fbem-26943	308	18	at	at	ADP
fbem-26943	308	19	-	-	PUNCT
fbem-26943	308	20	the	the	DET
fbem-26943	308	21	-	-	PUNCT
fbem-26943	308	22	money	money	NOUN
fbem-26943	308	23	options	option	NOUN
fbem-26943	308	24	and	and	CCONJ
fbem-26943	308	25	long	long	ADJ
fbem-26943	308	26	maturity	maturity	NOUN
fbem-26943	308	27	options	option	NOUN
fbem-26943	308	28	.	.	PUNCT
fbem-26943	309	1	the	the	DET
fbem-26943	309	2	ivrmse	ivrmse	NOUN
fbem-26943	309	3	of	of	ADP
fbem-26943	309	4	all	all	DET
fbem-26943	309	5	models	model	NOUN
fbem-26943	309	6	that	that	PRON
fbem-26943	309	7	do	do	AUX
fbem-26943	309	8	not	not	PART
fbem-26943	309	9	include	include	VERB
fbem-26943	309	10	realized	realize	VERB
fbem-26943	309	11	variance	variance	NOUN
fbem-26943	309	12	is	be	AUX
fbem-26943	309	13	significantly	significantly	ADV
fbem-26943	309	14	higher	high	ADJ
fbem-26943	309	15	,	,	PUNCT
fbem-26943	309	16	further	far	ADV
fbem-26943	309	17	supporting	support	VERB
fbem-26943	309	18	the	the	DET
fbem-26943	309	19	advantage	advantage	NOUN
fbem-26943	309	20	of	of	ADP
fbem-26943	309	21	allowing	allow	VERB
fbem-26943	309	22	for	for	ADP
fbem-26943	309	23	high	high	ADJ
fbem-26943	309	24	-	-	PUNCT
fbem-26943	309	25	frequency	frequency	NOUN
fbem-26943	309	26	information	information	NOUN
fbem-26943	309	27	.	.	PUNCT
fbem-26943	310	1	358	358	NUM
fbem-26943	310	2	table	table	NOUN
fbem-26943	310	3	2	2	NUM
fbem-26943	310	4	.	.	PUNCT
fbem-26943	310	5	in	in	ADP
fbem-26943	310	6	-	-	PUNCT
fbem-26943	310	7	sample	sample	NOUN
fbem-26943	310	8	pricing	pricing	NOUN
fbem-26943	310	9	performance	performance	NOUN
fbem-26943	310	10	egarch	egarch	NOUN
fbem-26943	310	11	ngarch	ngarch	NOUN
fbem-26943	310	12	gjr	gjr	PROPN
fbem-26943	310	13	-	-	PUNCT
fbem-26943	310	14	grach	grach	NOUN
fbem-26943	310	15	regarch	regarch	NOUN
fbem-26943	310	16	total	total	NOUN
fbem-26943	310	17	ivrmse	ivrmse	ADV
fbem-26943	310	18	4.2738	4.2738	NUM
fbem-26943	310	19	3.3204	3.3204	NUM
fbem-26943	310	20	3.4389	3.4389	NUM
fbem-26943	310	21	2.7535	2.7535	NUM
fbem-26943	310	22	by	by	ADP
fbem-26943	310	23	moneyness	moneyness	NOUN
fbem-26943	310	24	delta<0.3	delta<0.3	PROPN
fbem-26943	310	25	4.3984	4.3984	NUM
fbem-26943	310	26	3.3479	3.3479	NUM
fbem-26943	310	27	4.1398	4.1398	NUM
fbem-26943	310	28	3.3948	3.3948	NUM
fbem-26943	310	29	0.3	0.3	NUM
fbem-26943	310	30	<	<	X
fbem-26943	310	31	delta<0.4	delta<0.4	ADP
fbem-26943	310	32	3.8923	3.8923	NUM
fbem-26943	310	33	3.2304	3.2304	NUM
fbem-26943	310	34	3.3894	3.3894	NUM
fbem-26943	310	35	2.5489	2.5489	NUM
fbem-26943	310	36	0.4	0.4	NUM
fbem-26943	310	37	<	<	NOUN
fbem-26943	310	38	delta<0.5	delta<0.5	PROPN
fbem-26943	310	39	3.0328	3.0328	NUM
fbem-26943	310	40	2.8437	2.8437	NUM
fbem-26943	310	41	3.2093	3.2093	NUM
fbem-26943	310	42	2.2397	2.2397	NUM
fbem-26943	310	43	0.5	0.5	NUM
fbem-26943	310	44	<	<	NOUN
fbem-26943	310	45	delta<0.6	delta<0.6	PROPN
fbem-26943	310	46	3.0542	3.0542	NUM
fbem-26943	310	47	3.2704	3.2704	NUM
fbem-26943	310	48	3.4998	3.4998	NUM
fbem-26943	310	49	2.5487	2.5487	NUM
fbem-26943	310	50	0.6	0.6	NUM
fbem-26943	310	51	<	<	X
fbem-26943	310	52	delta<0.7	delta<0.7	NOUN
fbem-26943	310	53	3.4289	3.4289	NUM
fbem-26943	310	54	3.1928	3.1928	NUM
fbem-26943	310	55	3.2983	3.2983	NUM
fbem-26943	310	56	2.2873	2.2873	NUM
fbem-26943	310	57	0.7	0.7	NUM
fbem-26943	310	58	<	<	X
fbem-26943	310	59	delta	delta	NOUN
fbem-26943	310	60	4.2976	4.2976	NUM
fbem-26943	310	61	3.6472	3.6472	NUM
fbem-26943	310	62	3.4837	3.4837	NUM
fbem-26943	310	63	2.9542	2.9542	NUM
fbem-26943	310	64	by	by	ADP
fbem-26943	310	65	dtm	dtm	PROPN
fbem-26943	310	66	dtm<30	dtm<30	PROPN
fbem-26943	310	67	3.4854	3.4854	NUM
fbem-26943	310	68	3.4583	3.4583	NUM
fbem-26943	310	69	3.4857	3.4857	NUM
fbem-26943	310	70	2.4874	2.4874	NUM
fbem-26943	310	71	30	30	NUM
fbem-26943	310	72	<	<	NOUN
fbem-26943	310	73	dtm<60	dtm<60	PROPN
fbem-26943	310	74	3.3984	3.3984	NUM
fbem-26943	310	75	3.3984	3.3984	NUM
fbem-26943	310	76	3.6740	3.6740	NUM
fbem-26943	310	77	2.5983	2.5983	NUM
fbem-26943	310	78	60	60	NUM
fbem-26943	310	79	<	<	NOUN
fbem-26943	310	80	dtm<90	dtm<90	ADP
fbem-26943	310	81	4.3947	4.3947	NUM
fbem-26943	310	82	3.1856	3.1856	NUM
fbem-26943	310	83	3.3874	3.3874	NUM
fbem-26943	310	84	2.4458	2.4458	NUM
fbem-26943	310	85	90	90	NUM
fbem-26943	310	86	<	<	NOUN
fbem-26943	310	87	dtm<120	dtm<120	PROPN
fbem-26943	310	88	4.3631	4.3631	NUM
fbem-26943	310	89	3.2394	3.2394	NUM
fbem-26943	310	90	3.2198	3.2198	NUM
fbem-26943	310	91	2.7875	2.7875	NUM
fbem-26943	310	92	120	120	NUM
fbem-26943	310	93	<	<	X
fbem-26943	310	94	dtm<150	dtm<150	NUM
fbem-26943	310	95	4.4876	4.4876	NUM
fbem-26943	310	96	3.3274	3.3274	NUM
fbem-26943	310	97	3.2391	3.2391	NUM
fbem-26943	310	98	2.4950	2.4950	NUM
fbem-26943	310	99	150	150	NUM
fbem-26943	310	100	<	<	NOUN
fbem-26943	310	101	dtm	dtm	PROPN
fbem-26943	310	102	4.9832	4.9832	NUM
fbem-26943	310	103	3.3457	3.3457	NUM
fbem-26943	310	104	3.3470	3.3470	NUM
fbem-26943	310	105	3.2934	3.2934	NUM
fbem-26943	310	106	3.5	3.5	NUM
fbem-26943	310	107	.	.	PUNCT
fbem-26943	311	1	out	out	ADP
fbem-26943	311	2	-	-	PUNCT
fbem-26943	311	3	of	of	ADP
fbem-26943	311	4	-	-	PUNCT
fbem-26943	311	5	sample	sample	NOUN
fbem-26943	311	6	pricing	pricing	NOUN
fbem-26943	311	7	performance	performance	NOUN
fbem-26943	311	8	since	since	SCONJ
fbem-26943	311	9	the	the	DET
fbem-26943	311	10	regarch	regarch	NOUN
fbem-26943	311	11	model	model	NOUN
fbem-26943	311	12	has	have	VERB
fbem-26943	311	13	more	more	ADJ
fbem-26943	311	14	parameters	parameter	NOUN
fbem-26943	311	15	than	than	ADP
fbem-26943	311	16	the	the	DET
fbem-26943	311	17	competing	compete	VERB
fbem-26943	311	18	models	model	NOUN
fbem-26943	311	19	,	,	PUNCT
fbem-26943	311	20	there	there	PRON
fbem-26943	311	21	will	will	AUX
fbem-26943	311	22	be	be	AUX
fbem-26943	311	23	a	a	DET
fbem-26943	311	24	natural	natural	ADJ
fbem-26943	311	25	concern	concern	NOUN
fbem-26943	311	26	whether	whether	SCONJ
fbem-26943	311	27	the	the	DET
fbem-26943	311	28	superior	superior	ADJ
fbem-26943	311	29	performance	performance	NOUN
fbem-26943	311	30	is	be	AUX
fbem-26943	311	31	merely	merely	ADV
fbem-26943	311	32	due	due	ADJ
fbem-26943	311	33	to	to	ADP
fbem-26943	311	34	the	the	DET
fbem-26943	311	35	in	in	ADP
fbem-26943	311	36	-	-	PUNCT
fbem-26943	311	37	sample	sample	NOUN
fbem-26943	311	38	overfitting	overfitting	NOUN
fbem-26943	311	39	.	.	PUNCT
fbem-26943	312	1	therefore	therefore	ADV
fbem-26943	312	2	,	,	PUNCT
fbem-26943	312	3	studying	study	VERB
fbem-26943	312	4	the	the	DET
fbem-26943	312	5	out	out	ADJ
fbem-26943	312	6	-	-	PUNCT
fbem-26943	312	7	of	of	ADP
fbem-26943	312	8	-	-	PUNCT
fbem-26943	312	9	sample	sample	NOUN
fbem-26943	312	10	analysis	analysis	NOUN
fbem-26943	312	11	is	be	AUX
fbem-26943	312	12	a	a	DET
fbem-26943	312	13	more	more	ADV
fbem-26943	312	14	convincing	convincing	ADJ
fbem-26943	312	15	way	way	NOUN
fbem-26943	312	16	to	to	PART
fbem-26943	312	17	compare	compare	VERB
fbem-26943	312	18	the	the	DET
fbem-26943	312	19	option	option	NOUN
fbem-26943	312	20	pricing	pricing	NOUN
fbem-26943	312	21	abilities	ability	NOUN
fbem-26943	312	22	of	of	ADP
fbem-26943	312	23	the	the	DET
fbem-26943	312	24	models	model	NOUN
fbem-26943	312	25	.	.	PUNCT
fbem-26943	313	1	we	we	PRON
fbem-26943	313	2	conduct	conduct	VERB
fbem-26943	313	3	the	the	DET
fbem-26943	313	4	out	out	ADJ
fbem-26943	313	5	-	-	PUNCT
fbem-26943	313	6	of	of	ADP
fbem-26943	313	7	-	-	PUNCT
fbem-26943	313	8	sample	sample	NOUN
fbem-26943	313	9	evaluations	evaluation	NOUN
fbem-26943	313	10	from	from	ADP
fbem-26943	313	11	january	january	PROPN
fbem-26943	313	12	8	8	NUM
fbem-26943	313	13	,	,	PUNCT
fbem-26943	313	14	2021	2021	NUM
fbem-26943	313	15	to	to	ADP
fbem-26943	313	16	december	december	PROPN
fbem-26943	313	17	31	31	NUM
fbem-26943	313	18	,	,	PUNCT
fbem-26943	313	19	2023	2023	NUM
fbem-26943	313	20	.	.	PUNCT
fbem-26943	314	1	the	the	DET
fbem-26943	314	2	corresponding	corresponding	ADJ
fbem-26943	314	3	results	result	NOUN
fbem-26943	314	4	is	be	AUX
fbem-26943	314	5	reported	report	VERB
fbem-26943	314	6	in	in	ADP
fbem-26943	314	7	table	table	NOUN
fbem-26943	314	8	3	3	NUM
fbem-26943	314	9	.	.	PUNCT
fbem-26943	314	10	results	result	NOUN
fbem-26943	314	11	reported	report	VERB
fbem-26943	314	12	in	in	ADP
fbem-26943	314	13	table	table	NOUN
fbem-26943	315	1	3	3	NUM
fbem-26943	315	2	are	be	AUX
fbem-26943	315	3	similar	similar	ADJ
fbem-26943	315	4	to	to	ADP
fbem-26943	315	5	those	those	PRON
fbem-26943	315	6	in	in	ADP
fbem-26943	315	7	table	table	NOUN
fbem-26943	315	8	2	2	NUM
fbem-26943	315	9	,	,	PUNCT
fbem-26943	315	10	but	but	CCONJ
fbem-26943	315	11	the	the	DET
fbem-26943	315	12	regarch	regarch	NOUN
fbem-26943	315	13	achieve	achieve	VERB
fbem-26943	315	14	a	a	DET
fbem-26943	315	15	larger	large	ADJ
fbem-26943	315	16	improvement	improvement	NOUN
fbem-26943	315	17	.	.	PUNCT
fbem-26943	316	1	to	to	PART
fbem-26943	316	2	be	be	AUX
fbem-26943	316	3	more	more	ADV
fbem-26943	316	4	specific	specific	ADJ
fbem-26943	316	5	,	,	PUNCT
fbem-26943	316	6	the	the	DET
fbem-26943	316	7	regarch	regarch	NOUN
fbem-26943	316	8	model	model	NOUN
fbem-26943	316	9	has	have	VERB
fbem-26943	316	10	a	a	DET
fbem-26943	316	11	better	well	ADJ
fbem-26943	316	12	performance	performance	NOUN
fbem-26943	316	13	according	accord	VERB
fbem-26943	316	14	to	to	ADP
fbem-26943	316	15	different	different	ADJ
fbem-26943	316	16	moneyness	moneyness	NOUN
fbem-26943	316	17	and	and	CCONJ
fbem-26943	316	18	maturity	maturity	NOUN
fbem-26943	316	19	levels	level	NOUN
fbem-26943	316	20	.	.	PUNCT
fbem-26943	317	1	overall	overall	ADV
fbem-26943	317	2	,	,	PUNCT
fbem-26943	317	3	the	the	DET
fbem-26943	317	4	out	out	ADV
fbem-26943	317	5	-	-	PUNCT
fbem-26943	317	6	of	of	ADP
fbem-26943	317	7	-	-	PUNCT
fbem-26943	317	8	sample	sample	NOUN
fbem-26943	317	9	results	result	NOUN
fbem-26943	317	10	are	be	AUX
fbem-26943	317	11	consistent	consistent	ADJ
fbem-26943	317	12	with	with	ADP
fbem-26943	317	13	the	the	DET
fbem-26943	317	14	in	in	ADP
fbem-26943	317	15	-	-	PUNCT
fbem-26943	317	16	sample	sample	NOUN
fbem-26943	317	17	results	result	NOUN
fbem-26943	317	18	.	.	PUNCT
fbem-26943	318	1	table	table	NOUN
fbem-26943	318	2	3	3	NUM
fbem-26943	318	3	.	.	PUNCT
fbem-26943	318	4	out	out	ADP
fbem-26943	318	5	-	-	PUNCT
fbem-26943	318	6	of	of	ADP
fbem-26943	318	7	-	-	PUNCT
fbem-26943	318	8	sample	sample	NOUN
fbem-26943	318	9	pricing	pricing	NOUN
fbem-26943	318	10	performance	performance	NOUN
fbem-26943	318	11	egarch	egarch	NOUN
fbem-26943	318	12	ngarch	ngarch	NOUN
fbem-26943	318	13	gjr	gjr	PROPN
fbem-26943	318	14	-	-	PUNCT
fbem-26943	318	15	grach	grach	NOUN
fbem-26943	318	16	regarch	regarch	NOUN
fbem-26943	318	17	total	total	NOUN
fbem-26943	318	18	ivrmse	ivrmse	ADV
fbem-26943	318	19	2.9384	2.9384	NUM
fbem-26943	318	20	2.2873	2.2873	NUM
fbem-26943	318	21	2.9675	2.9675	NUM
fbem-26943	318	22	1.8725	1.8725	NUM
fbem-26943	318	23	by	by	ADP
fbem-26943	318	24	moneyness	moneyness	NOUN
fbem-26943	318	25	delta<0.3	delta<0.3	PROPN
fbem-26943	318	26	5.2653	5.2653	PROPN
fbem-26943	318	27	3.3468	3.3468	NUM
fbem-26943	318	28	4.8457	4.8457	NUM
fbem-26943	318	29	1.6534	1.6534	NUM
fbem-26943	318	30	0.3	0.3	NUM
fbem-26943	318	31	<	<	X
fbem-26943	318	32	delta<0.4	delta<0.4	ADP
fbem-26943	318	33	3.7384	3.7384	NUM
fbem-26943	318	34	2.8234	2.8234	NUM
fbem-26943	318	35	3.2365	3.2365	NUM
fbem-26943	318	36	1.5692	1.5692	NUM
fbem-26943	318	37	0.4	0.4	NUM
fbem-26943	318	38	<	<	NOUN
fbem-26943	318	39	delta<0.5	delta<0.5	X
fbem-26943	318	40	2.9346	2.9346	NUM
fbem-26943	318	41	2.8902	2.8902	NUM
fbem-26943	318	42	3.3837	3.3837	NUM
fbem-26943	318	43	1.2734	1.2734	NUM
fbem-26943	318	44	0.5	0.5	NUM
fbem-26943	318	45	<	<	NOUN
fbem-26943	318	46	delta<0.6	delta<0.6	NOUN
fbem-26943	318	47	2.6523	2.6523	NUM
fbem-26943	318	48	1.7348	1.7348	NUM
fbem-26943	318	49	2.9374	2.9374	NUM
fbem-26943	318	50	1.4837	1.4837	NUM
fbem-26943	318	51	0.6	0.6	NUM
fbem-26943	318	52	<	<	X
fbem-26943	318	53	delta<0.7	delta<0.7	VERB
fbem-26943	318	54	1.8957	1.8957	NUM
fbem-26943	318	55	1.7893	1.7893	NUM
fbem-26943	318	56	2.8954	2.8954	NUM
fbem-26943	318	57	1.3468	1.3468	NUM
fbem-26943	318	58	0.7	0.7	NUM
fbem-26943	318	59	<	<	X
fbem-26943	318	60	delta	delta	NOUN
fbem-26943	318	61	1.6732	1.6732	NUM
fbem-26943	318	62	1.8546	1.8546	NUM
fbem-26943	318	63	2.2445	2.2445	NUM
fbem-26943	318	64	1.9755	1.9755	NUM
fbem-26943	318	65	by	by	ADP
fbem-26943	318	66	dtm	dtm	PROPN
fbem-26943	318	67	dtm<30	dtm<30	PROPN
fbem-26943	318	68	2.7643	2.7643	NUM
fbem-26943	318	69	2.2215	2.2215	NUM
fbem-26943	318	70	2.6287	2.6287	NUM
fbem-26943	318	71	1.5434	1.5434	NUM
fbem-26943	318	72	30	30	NUM
fbem-26943	318	73	<	<	NOUN
fbem-26943	318	74	dtm<60	dtm<60	PROPN
fbem-26943	318	75	2.8374	2.8374	NUM
fbem-26943	318	76	2.3984	2.3984	NUM
fbem-26943	318	77	2.3897	2.3897	NUM
fbem-26943	318	78	1.8279	1.8279	NUM
fbem-26943	318	79	60	60	NUM
fbem-26943	318	80	<	<	NOUN
fbem-26943	318	81	dtm<90	dtm<90	ADP
fbem-26943	319	1	3.2938	3.2938	NUM
fbem-26943	319	2	2.3490	2.3490	NUM
fbem-26943	319	3	3.4895	3.4895	NUM
fbem-26943	319	4	1.4879	1.4879	NUM
fbem-26943	319	5	90	90	NUM
fbem-26943	319	6	<	<	X
fbem-26943	319	7	dtm<120	dtm<120	PROPN
fbem-26943	319	8	3.2387	3.2387	NUM
fbem-26943	319	9	2.3879	2.3879	NUM
fbem-26943	319	10	3.3748	3.3748	NUM
fbem-26943	319	11	1.3480	1.3480	NUM
fbem-26943	319	12	120	120	NUM
fbem-26943	319	13	<	<	X
fbem-26943	319	14	dtm<150	dtm<150	NUM
fbem-26943	319	15	3.4562	3.4562	NUM
fbem-26943	319	16	2.2092	2.2092	NUM
fbem-26943	319	17	3.3870	3.3870	NUM
fbem-26943	319	18	1.2057	1.2057	NUM
fbem-26943	319	19	150	150	NUM
fbem-26943	319	20	<	<	X
fbem-26943	319	21	dtm	dtm	PROPN
fbem-26943	319	22	4.3490	4.3490	NUM
fbem-26943	319	23	2.2203	2.2203	NUM
fbem-26943	319	24	3.5434	3.5434	NUM
fbem-26943	319	25	1.9823	1.9823	NUM
fbem-26943	319	26	4	4	NUM
fbem-26943	319	27	.	.	PUNCT
fbem-26943	319	28	conclusion	conclusion	NOUN
fbem-26943	319	29	this	this	DET
fbem-26943	319	30	study	study	NOUN
fbem-26943	319	31	has	have	AUX
fbem-26943	319	32	introduced	introduce	VERB
fbem-26943	319	33	the	the	DET
fbem-26943	319	34	high	high	ADJ
fbem-26943	319	35	-	-	PUNCT
fbem-26943	319	36	frequence	frequence	NOUN
fbem-26943	319	37	information	information	NOUN
fbem-26943	319	38	to	to	PART
fbem-26943	319	39	option	option	NOUN
fbem-26943	319	40	pricing	pricing	NOUN
fbem-26943	319	41	by	by	ADP
fbem-26943	319	42	using	use	VERB
fbem-26943	319	43	regarch	regarch	NOUN
fbem-26943	319	44	model	model	NOUN
fbem-26943	319	45	.	.	PUNCT
fbem-26943	320	1	an	an	DET
fbem-26943	320	2	importance	importance	NOUN
fbem-26943	320	3	feature	feature	NOUN
fbem-26943	320	4	of	of	ADP
fbem-26943	320	5	the	the	DET
fbem-26943	320	6	model	model	NOUN
fbem-26943	320	7	is	be	AUX
fbem-26943	320	8	that	that	SCONJ
fbem-26943	320	9	the	the	DET
fbem-26943	320	10	realized	realize	VERB
fbem-26943	320	11	variance	variance	NOUN
fbem-26943	320	12	is	be	AUX
fbem-26943	320	13	incorporated	incorporate	VERB
fbem-26943	320	14	and	and	CCONJ
fbem-26943	320	15	linked	link	VERB
fbem-26943	320	16	to	to	ADP
fbem-26943	320	17	the	the	DET
fbem-26943	320	18	conditional	conditional	ADJ
fbem-26943	320	19	volatility	volatility	NOUN
fbem-26943	320	20	through	through	ADP
fbem-26943	320	21	a	a	DET
fbem-26943	320	22	measurement	measurement	NOUN
fbem-26943	320	23	equation	equation	NOUN
fbem-26943	320	24	.	.	PUNCT
fbem-26943	321	1	this	this	DET
fbem-26943	321	2	model	model	NOUN
fbem-26943	321	3	not	not	PART
fbem-26943	321	4	only	only	ADV
fbem-26943	321	5	improves	improve	VERB
fbem-26943	321	6	the	the	DET
fbem-26943	321	7	precision	precision	NOUN
fbem-26943	321	8	of	of	ADP
fbem-26943	321	9	the	the	DET
fbem-26943	321	10	volatility	volatility	NOUN
fbem-26943	321	11	predictions	prediction	NOUN
fbem-26943	321	12	,	,	PUNCT
fbem-26943	321	13	but	but	CCONJ
fbem-26943	321	14	also	also	ADV
fbem-26943	321	15	allows	allow	VERB
fbem-26943	321	16	for	for	ADP
fbem-26943	321	17	an	an	DET
fbem-26943	321	18	additional	additional	ADJ
fbem-26943	321	19	risk	risk	NOUN
fbem-26943	321	20	premium	premium	NOUN
fbem-26943	321	21	that	that	PRON
fbem-26943	321	22	relates	relate	VERB
fbem-26943	321	23	to	to	ADP
fbem-26943	321	24	specific	specific	ADJ
fbem-26943	321	25	volatility	volatility	NOUN
fbem-26943	321	26	shocks	shock	NOUN
fbem-26943	321	27	.	.	PUNCT
fbem-26943	322	1	besides	besides	SCONJ
fbem-26943	322	2	,	,	PUNCT
fbem-26943	322	3	the	the	DET
fbem-26943	322	4	parameters	parameter	NOUN
fbem-26943	322	5	of	of	ADP
fbem-26943	322	6	the	the	DET
fbem-26943	322	7	regarch	regarch	NOUN
fbem-26943	322	8	model	model	NOUN
fbem-26943	322	9	can	can	AUX
fbem-26943	322	10	be	be	AUX
fbem-26943	322	11	directly	directly	ADV
fbem-26943	322	12	estimated	estimate	VERB
fbem-26943	322	13	by	by	ADP
fbem-26943	322	14	the	the	DET
fbem-26943	322	15	maximum	maximum	ADJ
fbem-26943	322	16	likelihood	likelihood	NOUN
fbem-26943	322	17	method	method	NOUN
fbem-26943	322	18	.	.	PUNCT
fbem-26943	323	1	we	we	PRON
fbem-26943	323	2	compare	compare	VERB
fbem-26943	323	3	the	the	DET
fbem-26943	323	4	regarch	regarch	NOUN
fbem-26943	323	5	model	model	NOUN
fbem-26943	323	6	and	and	CCONJ
fbem-26943	323	7	the	the	DET
fbem-26943	323	8	competing	compete	VERB
fbem-26943	323	9	(	(	PUNCT
fbem-26943	323	10	egarch	egarch	PROPN
fbem-26943	323	11	,	,	PUNCT
fbem-26943	323	12	ngarch	ngarch	NOUN
fbem-26943	323	13	,	,	PUNCT
fbem-26943	323	14	gjr	gjr	NOUN
fbem-26943	323	15	-	-	PUNCT
fbem-26943	323	16	garch	garch	NOUN
fbem-26943	323	17	)	)	PUNCT
fbem-26943	323	18	models	model	NOUN
fbem-26943	323	19	in	in	ADP
fbem-26943	323	20	terms	term	NOUN
fbem-26943	323	21	of	of	ADP
fbem-26943	323	22	option	option	NOUN
fbem-26943	323	23	pricing	pricing	NOUN
fbem-26943	323	24	performance	performance	NOUN
fbem-26943	323	25	.	.	PUNCT
fbem-26943	324	1	a	a	DET
fbem-26943	324	2	consistent	consistent	ADJ
fbem-26943	324	3	finding	finding	NOUN
fbem-26943	324	4	from	from	ADP
fbem-26943	324	5	both	both	PRON
fbem-26943	324	6	in	in	ADP
fbem-26943	324	7	-	-	PUNCT
fbem-26943	324	8	sample	sample	NOUN
fbem-26943	324	9	and	and	CCONJ
fbem-26943	324	10	out	out	ADP
fbem-26943	324	11	-	-	PUNCT
fbem-26943	324	12	of	of	ADP
fbem-26943	324	13	-	-	PUNCT
fbem-26943	324	14	sample	sample	NOUN
fbem-26943	324	15	analyses	analysis	NOUN
fbem-26943	324	16	is	be	AUX
fbem-26943	324	17	that	that	SCONJ
fbem-26943	324	18	incorporating	incorporate	VERB
fbem-26943	324	19	realized	realize	VERB
fbem-26943	324	20	measures	measure	NOUN
fbem-26943	324	21	significantly	significantly	ADV
fbem-26943	324	22	benefits	benefit	VERB
fbem-26943	324	23	option	option	NOUN
fbem-26943	324	24	pricing	pricing	NOUN
fbem-26943	324	25	.	.	PUNCT
fbem-26943	325	1	the	the	DET
fbem-26943	325	2	regarch	regarch	NOUN
fbem-26943	325	3	model	model	NOUN
fbem-26943	325	4	demonstrates	demonstrate	VERB
fbem-26943	325	5	superior	superior	ADJ
fbem-26943	325	6	performance	performance	NOUN
fbem-26943	325	7	on	on	ADP
fbem-26943	325	8	average	average	ADJ
fbem-26943	325	9	.	.	PUNCT
fbem-26943	326	1	the	the	DET
fbem-26943	326	2	theoretical	theoretical	ADJ
fbem-26943	326	3	and	and	CCONJ
fbem-26943	326	4	empirical	empirical	ADJ
fbem-26943	326	5	findings	finding	NOUN
fbem-26943	326	6	point	point	VERB
fbem-26943	326	7	to	to	ADP
fbem-26943	326	8	potential	potential	ADJ
fbem-26943	326	9	avenues	avenue	NOUN
fbem-26943	326	10	for	for	ADP
fbem-26943	326	11	future	future	ADJ
fbem-26943	326	12	research	research	NOUN
fbem-26943	326	13	,	,	PUNCT
fbem-26943	326	14	which	which	PRON
fbem-26943	326	15	could	could	AUX
fbem-26943	326	16	initially	initially	ADV
fbem-26943	326	17	focus	focus	VERB
fbem-26943	326	18	on	on	ADP
fbem-26943	326	19	enhancing	enhance	VERB
fbem-26943	326	20	the	the	DET
fbem-26943	326	21	option	option	NOUN
fbem-26943	326	22	pricing	pricing	NOUN
fbem-26943	326	23	capabilities	capability	NOUN
fbem-26943	326	24	of	of	ADP
fbem-26943	326	25	the	the	DET
fbem-26943	326	26	regarch	regarch	NOUN
fbem-26943	326	27	model	model	NOUN
fbem-26943	326	28	.	.	PUNCT
fbem-26943	327	1	a	a	DET
fbem-26943	327	2	promising	promising	ADJ
fbem-26943	327	3	area	area	NOUN
fbem-26943	327	4	for	for	ADP
fbem-26943	327	5	subsequent	subsequent	ADJ
fbem-26943	327	6	investigation	investigation	NOUN
fbem-26943	327	7	is	be	AUX
fbem-26943	327	8	to	to	PART
fbem-26943	327	9	explore	explore	VERB
fbem-26943	327	10	the	the	DET
fbem-26943	327	11	volatility	volatility	NOUN
fbem-26943	327	12	spillover	spillover	VERB
fbem-26943	327	13	effects	effect	NOUN
fbem-26943	327	14	across	across	ADP
fbem-26943	327	15	derivative	derivative	ADJ
fbem-26943	327	16	markets	market	NOUN
fbem-26943	327	17	utilizing	utilize	VERB
fbem-26943	327	18	the	the	DET
fbem-26943	327	19	regarch	regarch	NOUN
fbem-26943	327	20	model	model	NOUN
fbem-26943	327	21	framework	framework	NOUN
fbem-26943	327	22	.	.	PUNCT
fbem-26943	328	1	declaration	declaration	NOUN
fbem-26943	328	2	of	of	ADP
fbem-26943	328	3	competing	compete	VERB
fbem-26943	328	4	interest	interest	NOUN
fbem-26943	328	5	the	the	DET
fbem-26943	328	6	author	author	NOUN
fbem-26943	328	7	declares	declare	VERB
fbem-26943	328	8	no	no	DET
fbem-26943	328	9	conflict	conflict	NOUN
fbem-26943	328	10	of	of	ADP
fbem-26943	328	11	interest	interest	NOUN
fbem-26943	328	12	.	.	PUNCT
fbem-26943	329	1	acknowledgment	acknowledgment	NOUN
fbem-26943	329	2	this	this	DET
fbem-26943	329	3	work	work	NOUN
fbem-26943	329	4	is	be	AUX
fbem-26943	329	5	supported	support	VERB
fbem-26943	329	6	by	by	ADP
fbem-26943	329	7	the	the	DET
fbem-26943	329	8	innovative	innovative	ADJ
fbem-26943	329	9	research	research	NOUN
fbem-26943	329	10	project	project	NOUN
fbem-26943	329	11	for	for	ADP
fbem-26943	329	12	graduates	graduate	NOUN
fbem-26943	329	13	of	of	ADP
fbem-26943	329	14	anhui	anhui	PROPN
fbem-26943	329	15	university	university	PROPN
fbem-26943	329	16	of	of	ADP
fbem-26943	329	17	finance	finance	NOUN
fbem-26943	329	18	and	and	CCONJ
fbem-26943	329	19	economics	economic	NOUN
fbem-26943	329	20	under	under	ADP
fbem-26943	329	21	grant	grant	NOUN
fbem-26943	329	22	no	no	NOUN
fbem-26943	329	23	.	.	PUNCT
fbem-26943	330	1	acyc2022452	acyc2022452	NOUN
fbem-26943	330	2	.	.	PUNCT
fbem-26943	331	1	359	359	NUM
fbem-26943	331	2	references	reference	NOUN
fbem-26943	331	3	[	[	X
fbem-26943	331	4	1	1	NUM
fbem-26943	331	5	]	]	PUNCT
fbem-26943	331	6	j.-p	j.-p	PROPN
fbem-26943	331	7	.	.	PUNCT
fbem-26943	332	1	chavas	chavas	PROPN
fbem-26943	332	2	,	,	PUNCT
fbem-26943	332	3	j.	j.	PROPN
fbem-26943	332	4	li	li	PROPN
fbem-26943	332	5	,	,	PUNCT
fbem-26943	332	6	and	and	CCONJ
fbem-26943	332	7	l.	l.	PROPN
fbem-26943	332	8	wang	wang	PROPN
fbem-26943	332	9	,	,	PUNCT
fbem-26943	332	10	“	"	PUNCT
fbem-26943	332	11	option	option	NOUN
fbem-26943	332	12	pricing	pricing	NOUN
fbem-26943	332	13	revisited	revisit	VERB
fbem-26943	332	14	:	:	PUNCT
fbem-26943	332	15	the	the	DET
fbem-26943	332	16	role	role	NOUN
fbem-26943	332	17	of	of	ADP
fbem-26943	332	18	price	price	NOUN
fbem-26943	332	19	volatility	volatility	NOUN
fbem-26943	332	20	and	and	CCONJ
fbem-26943	332	21	dynamics	dynamic	NOUN
fbem-26943	332	22	,	,	PUNCT
fbem-26943	332	23	”	"	PUNCT
fbem-26943	332	24	journal	journal	NOUN
fbem-26943	332	25	of	of	ADP
fbem-26943	332	26	commodity	commodity	NOUN
fbem-26943	332	27	markets	market	NOUN
fbem-26943	332	28	,	,	PUNCT
fbem-26943	332	29	2024	2024	NUM
fbem-26943	332	30	.	.	PUNCT
fbem-26943	333	1	[	[	X
fbem-26943	333	2	2	2	X
fbem-26943	333	3	]	]	PUNCT
fbem-26943	333	4	d.	d.	PROPN
fbem-26943	333	5	h.	h.	PROPN
fbem-26943	333	6	oh	oh	INTJ
fbem-26943	333	7	and	and	CCONJ
fbem-26943	333	8	y.-h	y.-h	NOUN
fbem-26943	333	9	.	.	PUNCT
fbem-26943	334	1	park	park	PROPN
fbem-26943	334	2	,	,	PUNCT
fbem-26943	334	3	“	"	PUNCT
fbem-26943	334	4	garch	garch	NOUN
fbem-26943	334	5	option	option	NOUN
fbem-26943	334	6	pricing	pricing	NOUN
fbem-26943	334	7	with	with	ADP
fbem-26943	334	8	volatility	volatility	NOUN
fbem-26943	334	9	derivatives	derivative	NOUN
fbem-26943	334	10	,	,	PUNCT
fbem-26943	334	11	”	"	PUNCT
fbem-26943	334	12	2023	2023	NUM
fbem-26943	334	13	.	.	PUNCT
fbem-26943	335	1	[	[	X
fbem-26943	335	2	3	3	NUM
fbem-26943	335	3	]	]	PUNCT
fbem-26943	335	4	m.	m.	NOUN
fbem-26943	335	5	escobar	escobar	PROPN
fbem-26943	335	6	-	-	PUNCT
fbem-26943	335	7	anel	anel	PROPN
fbem-26943	335	8	,	,	PUNCT
fbem-26943	335	9	j.	j.	PROPN
fbem-26943	335	10	rastegari	rastegari	PROPN
fbem-26943	335	11	,	,	PUNCT
fbem-26943	335	12	and	and	CCONJ
fbem-26943	335	13	l.	l.	PROPN
fbem-26943	335	14	stentoft	stentoft	PROPN
fbem-26943	335	15	,	,	PUNCT
fbem-26943	335	16	“	"	PUNCT
fbem-26943	335	17	option	option	NOUN
fbem-26943	335	18	pricing	pricing	NOUN
fbem-26943	335	19	with	with	ADP
fbem-26943	335	20	conditional	conditional	ADJ
fbem-26943	335	21	garch	garch	NOUN
fbem-26943	335	22	models	model	NOUN
fbem-26943	335	23	,	,	PUNCT
fbem-26943	335	24	”	"	PUNCT
fbem-26943	335	25	european	european	ADJ
fbem-26943	335	26	journal	journal	PROPN
fbem-26943	335	27	of	of	ADP
fbem-26943	335	28	operational	operational	ADJ
fbem-26943	335	29	research	research	NOUN
fbem-26943	335	30	,	,	PUNCT
fbem-26943	335	31	2021	2021	NUM
fbem-26943	335	32	.	.	PUNCT
fbem-26943	336	1	[	[	X
fbem-26943	336	2	4	4	X
fbem-26943	336	3	]	]	X
fbem-26943	336	4	f.	f.	PROPN
fbem-26943	336	5	black	black	PROPN
fbem-26943	336	6	and	and	CCONJ
fbem-26943	336	7	m.	m.	NOUN
fbem-26943	336	8	scholes	schole	NOUN
fbem-26943	336	9	,	,	PUNCT
fbem-26943	336	10	“	"	PUNCT
fbem-26943	336	11	the	the	DET
fbem-26943	336	12	pricing	pricing	NOUN
fbem-26943	336	13	of	of	ADP
fbem-26943	336	14	options	option	NOUN
fbem-26943	336	15	and	and	CCONJ
fbem-26943	336	16	corporate	corporate	ADJ
fbem-26943	336	17	liabilities	liability	NOUN
fbem-26943	336	18	,	,	PUNCT
fbem-26943	336	19	”	"	PUNCT
fbem-26943	336	20	journal	journal	NOUN
fbem-26943	336	21	of	of	ADP
fbem-26943	336	22	political	political	ADJ
fbem-26943	336	23	economy	economy	NOUN
fbem-26943	336	24	,	,	PUNCT
fbem-26943	336	25	vol	vol	NOUN
fbem-26943	336	26	.	.	PROPN
fbem-26943	336	27	81	81	NUM
fbem-26943	336	28	,	,	PUNCT
fbem-26943	336	29	no	no	INTJ
fbem-26943	336	30	.	.	NOUN
fbem-26943	336	31	3	3	NUM
fbem-26943	336	32	,	,	PUNCT
fbem-26943	336	33	pp	pp	ADJ
fbem-26943	336	34	.	.	PUNCT
fbem-26943	337	1	637–654	637–654	NUM
fbem-26943	337	2	,	,	PUNCT
fbem-26943	337	3	may	may	AUX
fbem-26943	337	4	1973	1973	NUM
fbem-26943	337	5	.	.	PUNCT
fbem-26943	338	1	[	[	X
fbem-26943	338	2	5	5	X
fbem-26943	338	3	]	]	PUNCT
fbem-26943	338	4	s.	s.	PROPN
fbem-26943	338	5	l.	l.	PROPN
fbem-26943	338	6	heston	heston	PROPN
fbem-26943	338	7	,	,	PUNCT
fbem-26943	338	8	“	"	PUNCT
fbem-26943	338	9	a	a	DET
fbem-26943	338	10	closed	closed	ADJ
fbem-26943	338	11	-	-	PUNCT
fbem-26943	338	12	form	form	NOUN
fbem-26943	338	13	solution	solution	NOUN
fbem-26943	338	14	for	for	ADP
fbem-26943	338	15	options	option	NOUN
fbem-26943	338	16	with	with	ADP
fbem-26943	338	17	stochastic	stochastic	ADJ
fbem-26943	338	18	volatility	volatility	NOUN
fbem-26943	338	19	with	with	ADP
fbem-26943	338	20	applications	application	NOUN
fbem-26943	338	21	to	to	PART
fbem-26943	338	22	bond	bond	NOUN
fbem-26943	338	23	and	and	CCONJ
fbem-26943	338	24	currency	currency	NOUN
fbem-26943	338	25	options	option	NOUN
fbem-26943	338	26	,	,	PUNCT
fbem-26943	338	27	”	"	PUNCT
fbem-26943	338	28	rev	rev	PROPN
fbem-26943	338	29	.	.	PROPN
fbem-26943	338	30	financ	financ	PROPN
fbem-26943	338	31	.	.	PUNCT
fbem-26943	339	1	stud	stud	PROPN
fbem-26943	339	2	.	.	PUNCT
fbem-26943	340	1	,	,	PUNCT
fbem-26943	340	2	vol	vol	NOUN
fbem-26943	340	3	.	.	PROPN
fbem-26943	341	1	6	6	NUM
fbem-26943	341	2	,	,	PUNCT
fbem-26943	341	3	no	no	INTJ
fbem-26943	341	4	.	.	NOUN
fbem-26943	341	5	2	2	NUM
fbem-26943	341	6	,	,	PUNCT
fbem-26943	341	7	pp	pp	ADJ
fbem-26943	341	8	.	.	PUNCT
fbem-26943	342	1	327–343	327–343	NUM
fbem-26943	342	2	,	,	PUNCT
fbem-26943	342	3	apr	apr	PROPN
fbem-26943	342	4	.	.	PROPN
fbem-26943	342	5	1993	1993	NUM
fbem-26943	342	6	.	.	PUNCT
fbem-26943	343	1	[	[	X
fbem-26943	343	2	6	6	NUM
fbem-26943	343	3	]	]	PUNCT
fbem-26943	343	4	j.	j.	PROPN
fbem-26943	343	5	hull	hull	PROPN
fbem-26943	343	6	and	and	CCONJ
fbem-26943	343	7	a.	a.	NOUN
fbem-26943	343	8	white	white	PROPN
fbem-26943	343	9	,	,	PUNCT
fbem-26943	343	10	“	"	PUNCT
fbem-26943	343	11	the	the	DET
fbem-26943	343	12	pricing	pricing	NOUN
fbem-26943	343	13	of	of	ADP
fbem-26943	343	14	options	option	NOUN
fbem-26943	343	15	on	on	ADP
fbem-26943	343	16	assets	asset	NOUN
fbem-26943	343	17	with	with	ADP
fbem-26943	343	18	stochastic	stochastic	ADJ
fbem-26943	343	19	volatilities	volatility	NOUN
fbem-26943	343	20	,	,	PUNCT
fbem-26943	343	21	”	"	PUNCT
fbem-26943	343	22	the	the	DET
fbem-26943	343	23	journal	journal	NOUN
fbem-26943	343	24	of	of	ADP
fbem-26943	343	25	finance	finance	NOUN
fbem-26943	343	26	,	,	PUNCT
fbem-26943	343	27	vol	vol	NOUN
fbem-26943	343	28	.	.	PROPN
fbem-26943	343	29	42	42	NUM
fbem-26943	343	30	,	,	PUNCT
fbem-26943	343	31	no	no	INTJ
fbem-26943	343	32	.	.	NOUN
fbem-26943	343	33	2	2	NUM
fbem-26943	343	34	,	,	PUNCT
fbem-26943	343	35	pp	pp	ADJ
fbem-26943	343	36	.	.	PUNCT
fbem-26943	344	1	281–300	281–300	NUM
fbem-26943	344	2	,	,	PUNCT
fbem-26943	344	3	jun	jun	PROPN
fbem-26943	344	4	.	.	PROPN
fbem-26943	344	5	1987	1987	NUM
fbem-26943	344	6	.	.	PUNCT
fbem-26943	345	1	[	[	X
fbem-26943	345	2	7	7	X
fbem-26943	345	3	]	]	X
fbem-26943	345	4	r.	r.	PROPN
fbem-26943	345	5	kiesel	kiesel	PROPN
fbem-26943	345	6	and	and	CCONJ
fbem-26943	345	7	f.	f.	PROPN
fbem-26943	345	8	rahe	rahe	PROPN
fbem-26943	345	9	,	,	PUNCT
fbem-26943	345	10	“	"	PUNCT
fbem-26943	345	11	option	option	NOUN
fbem-26943	345	12	pricing	pricing	NOUN
fbem-26943	345	13	under	under	ADP
fbem-26943	345	14	time	time	NOUN
fbem-26943	345	15	-	-	PUNCT
fbem-26943	345	16	varying	vary	VERB
fbem-26943	345	17	risk	risk	NOUN
fbem-26943	345	18	-	-	PUNCT
fbem-26943	345	19	aversion	aversion	NOUN
fbem-26943	345	20	with	with	ADP
fbem-26943	345	21	applications	application	NOUN
fbem-26943	345	22	to	to	PART
fbem-26943	345	23	risk	risk	VERB
fbem-26943	345	24	forecasting	forecasting	NOUN
fbem-26943	345	25	,	,	PUNCT
fbem-26943	345	26	”	"	PUNCT
fbem-26943	345	27	journal	journal	NOUN
fbem-26943	345	28	of	of	ADP
fbem-26943	345	29	banking	banking	NOUN
fbem-26943	345	30	&	&	CCONJ
fbem-26943	345	31	finance	finance	PROPN
fbem-26943	345	32	,	,	PUNCT
fbem-26943	345	33	vol	vol	NOUN
fbem-26943	345	34	.	.	PROPN
fbem-26943	345	35	76	76	NUM
fbem-26943	345	36	,	,	PUNCT
fbem-26943	345	37	pp	pp	ADJ
fbem-26943	345	38	.	.	PUNCT
fbem-26943	346	1	120–138	120–138	NUM
fbem-26943	346	2	,	,	PUNCT
fbem-26943	346	3	mar	mar	PROPN
fbem-26943	346	4	.	.	PROPN
fbem-26943	346	5	2017	2017	NUM
fbem-26943	346	6	.	.	PUNCT
fbem-26943	347	1	[	[	X
fbem-26943	347	2	8	8	X
fbem-26943	347	3	]	]	X
fbem-26943	347	4	j.	j.	PROPN
fbem-26943	347	5	duan	duan	PROPN
fbem-26943	347	6	,	,	PUNCT
fbem-26943	347	7	“	"	PUNCT
fbem-26943	347	8	the	the	DET
fbem-26943	347	9	garch	garch	NOUN
fbem-26943	347	10	option	option	NOUN
fbem-26943	347	11	pricing	pricing	NOUN
fbem-26943	347	12	model	model	NOUN
fbem-26943	347	13	,	,	PUNCT
fbem-26943	347	14	”	"	PUNCT
fbem-26943	347	15	mathematical	mathematical	ADJ
fbem-26943	347	16	finance	finance	NOUN
fbem-26943	347	17	,	,	PUNCT
fbem-26943	347	18	vol	vol	NOUN
fbem-26943	347	19	.	.	PROPN
fbem-26943	347	20	5	5	NUM
fbem-26943	347	21	,	,	PUNCT
fbem-26943	347	22	no	no	INTJ
fbem-26943	347	23	.	.	NOUN
fbem-26943	347	24	1	1	NUM
fbem-26943	347	25	,	,	PUNCT
fbem-26943	347	26	pp	pp	ADJ
fbem-26943	347	27	.	.	PUNCT
fbem-26943	348	1	13–32	13–32	NUM
fbem-26943	348	2	,	,	PUNCT
fbem-26943	348	3	jan	jan	PROPN
fbem-26943	348	4	.	.	PROPN
fbem-26943	348	5	1995	1995	NUM
fbem-26943	348	6	.	.	PUNCT
fbem-26943	349	1	[	[	X
fbem-26943	349	2	9	9	NUM
fbem-26943	349	3	]	]	X
fbem-26943	349	4	d.	d.	PROPN
fbem-26943	349	5	b.	b.	PROPN
fbem-26943	349	6	nelson	nelson	PROPN
fbem-26943	349	7	,	,	PUNCT
fbem-26943	349	8	“	"	PUNCT
fbem-26943	349	9	conditional	conditional	ADJ
fbem-26943	349	10	heteroskedasticity	heteroskedasticity	NOUN
fbem-26943	349	11	in	in	ADP
fbem-26943	349	12	asset	asset	NOUN
fbem-26943	349	13	returns	return	NOUN
fbem-26943	349	14	:	:	PUNCT
fbem-26943	349	15	a	a	DET
fbem-26943	349	16	new	new	ADJ
fbem-26943	349	17	approach	approach	NOUN
fbem-26943	349	18	,	,	PUNCT
fbem-26943	349	19	”	"	PUNCT
fbem-26943	349	20	econometrica	econometrica	PROPN
fbem-26943	349	21	,	,	PUNCT
fbem-26943	349	22	vol	vol	NOUN
fbem-26943	349	23	.	.	PROPN
fbem-26943	349	24	59	59	NUM
fbem-26943	349	25	,	,	PUNCT
fbem-26943	349	26	no	no	INTJ
fbem-26943	349	27	.	.	NOUN
fbem-26943	349	28	2	2	NUM
fbem-26943	349	29	,	,	PUNCT
fbem-26943	349	30	p.	p.	NOUN
fbem-26943	349	31	347	347	NUM
fbem-26943	349	32	,	,	PUNCT
fbem-26943	349	33	mar	mar	PROPN
fbem-26943	349	34	.	.	PROPN
fbem-26943	349	35	1991	1991	NUM
fbem-26943	349	36	.	.	PUNCT
fbem-26943	350	1	[	[	X
fbem-26943	350	2	10	10	NUM
fbem-26943	350	3	]	]	X
fbem-26943	350	4	r.	r.	PROPN
fbem-26943	350	5	f.	f.	PROPN
fbem-26943	350	6	engle	engle	PROPN
fbem-26943	350	7	and	and	CCONJ
fbem-26943	350	8	v.	v.	PROPN
fbem-26943	350	9	k.	k.	PROPN
fbem-26943	350	10	ng	ng	PROPN
fbem-26943	350	11	,	,	PUNCT
fbem-26943	350	12	“	"	PUNCT
fbem-26943	350	13	measuring	measure	VERB
fbem-26943	350	14	and	and	CCONJ
fbem-26943	350	15	testing	test	VERB
fbem-26943	350	16	the	the	DET
fbem-26943	350	17	impact	impact	NOUN
fbem-26943	350	18	of	of	ADP
fbem-26943	350	19	news	news	NOUN
fbem-26943	350	20	on	on	ADP
fbem-26943	350	21	volatility	volatility	NOUN
fbem-26943	350	22	,	,	PUNCT
fbem-26943	350	23	”	"	PUNCT
fbem-26943	350	24	the	the	DET
fbem-26943	350	25	journal	journal	NOUN
fbem-26943	350	26	of	of	ADP
fbem-26943	350	27	finance	finance	NOUN
fbem-26943	350	28	,	,	PUNCT
fbem-26943	350	29	vol	vol	NOUN
fbem-26943	350	30	.	.	PROPN
fbem-26943	350	31	48	48	NUM
fbem-26943	350	32	,	,	PUNCT
fbem-26943	350	33	no	no	INTJ
fbem-26943	350	34	.	.	NOUN
fbem-26943	350	35	5	5	NUM
fbem-26943	350	36	,	,	PUNCT
fbem-26943	350	37	pp	pp	PROPN
fbem-26943	350	38	.	.	PUNCT
fbem-26943	351	1	1749–1778	1749–1778	NUM
fbem-26943	351	2	,	,	PUNCT
fbem-26943	351	3	dec	dec	PROPN
fbem-26943	351	4	.	.	PROPN
fbem-26943	351	5	1993	1993	NUM
fbem-26943	351	6	.	.	PUNCT
fbem-26943	352	1	[	[	X
fbem-26943	352	2	11	11	NUM
fbem-26943	352	3	]	]	PUNCT
fbem-26943	352	4	l.	l.	PROPN
fbem-26943	352	5	r.	r.	PROPN
fbem-26943	352	6	glosten	glosten	PROPN
fbem-26943	352	7	,	,	PUNCT
fbem-26943	352	8	r.	r.	PROPN
fbem-26943	352	9	jagannathan	jagannathan	PROPN
fbem-26943	352	10	,	,	PUNCT
fbem-26943	352	11	and	and	CCONJ
fbem-26943	352	12	d.	d.	PROPN
fbem-26943	352	13	e.	e.	PROPN
fbem-26943	352	14	runkle	runkle	PROPN
fbem-26943	352	15	,	,	PUNCT
fbem-26943	352	16	“	"	PUNCT
fbem-26943	352	17	on	on	ADP
fbem-26943	352	18	the	the	DET
fbem-26943	352	19	relation	relation	NOUN
fbem-26943	352	20	between	between	ADP
fbem-26943	352	21	the	the	DET
fbem-26943	352	22	expected	expect	VERB
fbem-26943	352	23	value	value	NOUN
fbem-26943	352	24	and	and	CCONJ
fbem-26943	352	25	the	the	DET
fbem-26943	352	26	volatility	volatility	NOUN
fbem-26943	352	27	of	of	ADP
fbem-26943	352	28	the	the	DET
fbem-26943	352	29	nominal	nominal	ADJ
fbem-26943	352	30	excess	excess	ADJ
fbem-26943	352	31	return	return	NOUN
fbem-26943	352	32	on	on	ADP
fbem-26943	352	33	stocks	stock	NOUN
fbem-26943	352	34	,	,	PUNCT
fbem-26943	352	35	”	"	PUNCT
fbem-26943	352	36	the	the	DET
fbem-26943	352	37	journal	journal	NOUN
fbem-26943	352	38	of	of	ADP
fbem-26943	352	39	finance	finance	NOUN
fbem-26943	352	40	,	,	PUNCT
fbem-26943	352	41	vol	vol	NOUN
fbem-26943	352	42	.	.	PROPN
fbem-26943	352	43	48	48	NUM
fbem-26943	352	44	,	,	PUNCT
fbem-26943	352	45	no	no	INTJ
fbem-26943	352	46	.	.	NOUN
fbem-26943	352	47	5	5	NUM
fbem-26943	352	48	,	,	PUNCT
fbem-26943	352	49	pp	pp	ADJ
fbem-26943	352	50	.	.	PUNCT
fbem-26943	353	1	1779–1801	1779–1801	NUM
fbem-26943	353	2	,	,	PUNCT
fbem-26943	353	3	dec	dec	PROPN
fbem-26943	353	4	.	.	PROPN
fbem-26943	353	5	1993	1993	NUM
fbem-26943	353	6	.	.	PUNCT
fbem-26943	354	1	[	[	X
fbem-26943	354	2	12	12	NUM
fbem-26943	354	3	]	]	PUNCT
fbem-26943	354	4	a.	a.	NOUN
fbem-26943	354	5	cori	cori	PROPN
fbem-26943	354	6	,	,	PUNCT
fbem-26943	354	7	n.	n.	PROPN
fbem-26943	354	8	m.	m.	PROPN
fbem-26943	354	9	ferguson	ferguson	PROPN
fbem-26943	354	10	,	,	PUNCT
fbem-26943	354	11	c.	c.	PROPN
fbem-26943	354	12	fraser	fraser	PROPN
fbem-26943	354	13	,	,	PUNCT
fbem-26943	354	14	and	and	CCONJ
fbem-26943	354	15	s.	s.	PROPN
fbem-26943	354	16	cauchemez	cauchemez	PROPN
fbem-26943	354	17	,	,	PUNCT
fbem-26943	354	18	“	"	PUNCT
fbem-26943	354	19	a	a	DET
fbem-26943	354	20	new	new	ADJ
fbem-26943	354	21	framework	framework	NOUN
fbem-26943	354	22	and	and	CCONJ
fbem-26943	354	23	software	software	NOUN
fbem-26943	354	24	to	to	PART
fbem-26943	354	25	estimate	estimate	VERB
fbem-26943	354	26	time	time	NOUN
fbem-26943	354	27	-	-	PUNCT
fbem-26943	354	28	varying	vary	VERB
fbem-26943	354	29	reproduction	reproduction	NOUN
fbem-26943	354	30	numbers	number	NOUN
fbem-26943	354	31	during	during	ADP
fbem-26943	354	32	epidemics	epidemic	NOUN
fbem-26943	354	33	,	,	PUNCT
fbem-26943	354	34	”	"	PUNCT
fbem-26943	354	35	american	american	ADJ
fbem-26943	354	36	journal	journal	PROPN
fbem-26943	354	37	of	of	ADP
fbem-26943	354	38	epidemiology	epidemiology	NOUN
fbem-26943	354	39	,	,	PUNCT
fbem-26943	354	40	vol	vol	NOUN
fbem-26943	354	41	.	.	NOUN
fbem-26943	354	42	178	178	NUM
fbem-26943	354	43	,	,	PUNCT
fbem-26943	354	44	no	no	INTJ
fbem-26943	354	45	.	.	NOUN
fbem-26943	354	46	9	9	NUM
fbem-26943	354	47	,	,	PUNCT
fbem-26943	354	48	pp	pp	ADJ
fbem-26943	354	49	.	.	PUNCT
fbem-26943	354	50	1505–1512	1505–1512	NUM
fbem-26943	354	51	,	,	PUNCT
fbem-26943	354	52	nov	nov	PROPN
fbem-26943	354	53	.	.	PROPN
fbem-26943	354	54	2013	2013	NUM
fbem-26943	354	55	.	.	PUNCT
fbem-26943	355	1	[	[	X
fbem-26943	355	2	13	13	NUM
fbem-26943	355	3	]	]	PUNCT
fbem-26943	355	4	p.	p.	NOUN
fbem-26943	355	5	christoffersen	christoffersen	PROPN
fbem-26943	355	6	,	,	PUNCT
fbem-26943	355	7	v.	v.	ADP
fbem-26943	355	8	errunza	errunza	ADJ
fbem-26943	355	9	,	,	PUNCT
fbem-26943	355	10	k.	k.	PROPN
fbem-26943	355	11	jacobs	jacobs	PROPN
fbem-26943	355	12	,	,	PUNCT
fbem-26943	355	13	and	and	CCONJ
fbem-26943	355	14	x.	x.	NOUN
fbem-26943	355	15	jin	jin	PROPN
fbem-26943	355	16	,	,	PUNCT
fbem-26943	355	17	“	"	PUNCT
fbem-26943	355	18	correlation	correlation	NOUN
fbem-26943	355	19	dynamics	dynamic	NOUN
fbem-26943	355	20	and	and	CCONJ
fbem-26943	355	21	international	international	ADJ
fbem-26943	355	22	diversification	diversification	NOUN
fbem-26943	355	23	benefits	benefit	NOUN
fbem-26943	355	24	,	,	PUNCT
fbem-26943	355	25	”	"	PUNCT
fbem-26943	355	26	international	international	ADJ
fbem-26943	355	27	journal	journal	NOUN
fbem-26943	355	28	of	of	ADP
fbem-26943	355	29	forecasting	forecasting	NOUN
fbem-26943	355	30	,	,	PUNCT
fbem-26943	355	31	vol	vol	NOUN
fbem-26943	355	32	.	.	PROPN
fbem-26943	355	33	30	30	NUM
fbem-26943	355	34	,	,	PUNCT
fbem-26943	355	35	no	no	INTJ
fbem-26943	355	36	.	.	NOUN
fbem-26943	355	37	3	3	NUM
fbem-26943	355	38	,	,	PUNCT
fbem-26943	355	39	pp	pp	ADJ
fbem-26943	355	40	.	.	PUNCT
fbem-26943	356	1	807–824	807–824	NUM
fbem-26943	356	2	,	,	PUNCT
fbem-26943	356	3	jul	jul	PROPN
fbem-26943	356	4	.	.	PROPN
fbem-26943	356	5	2014	2014	NUM
fbem-26943	356	6	.	.	PUNCT
fbem-26943	357	1	[	[	X
fbem-26943	357	2	14	14	NUM
fbem-26943	357	3	]	]	PUNCT
fbem-26943	357	4	p.	p.	PROPN
fbem-26943	357	5	r.	r.	PROPN
fbem-26943	357	6	hansen	hansen	PROPN
fbem-26943	357	7	and	and	CCONJ
fbem-26943	357	8	z.	z.	PROPN
fbem-26943	357	9	huang	huang	PROPN
fbem-26943	357	10	,	,	PUNCT
fbem-26943	357	11	“	"	PUNCT
fbem-26943	357	12	exponential	exponential	ADJ
fbem-26943	357	13	garch	garch	NOUN
fbem-26943	357	14	modeling	modeling	NOUN
fbem-26943	357	15	with	with	ADP
fbem-26943	357	16	realized	realize	VERB
fbem-26943	357	17	measures	measure	NOUN
fbem-26943	357	18	of	of	ADP
fbem-26943	357	19	volatility	volatility	NOUN
fbem-26943	357	20	,	,	PUNCT
fbem-26943	357	21	”	"	PUNCT
fbem-26943	357	22	journal	journal	NOUN
fbem-26943	357	23	of	of	ADP
fbem-26943	357	24	business	business	PROPN
fbem-26943	357	25	&	&	CCONJ
fbem-26943	357	26	economic	economic	ADJ
fbem-26943	357	27	statistics	statistic	NOUN
fbem-26943	357	28	,	,	PUNCT
fbem-26943	357	29	vol	vol	NOUN
fbem-26943	357	30	.	.	PROPN
fbem-26943	358	1	34	34	NUM
fbem-26943	358	2	,	,	PUNCT
fbem-26943	358	3	no	no	INTJ
fbem-26943	358	4	.	.	NOUN
fbem-26943	358	5	2	2	NUM
fbem-26943	358	6	,	,	PUNCT
fbem-26943	358	7	pp	pp	ADJ
fbem-26943	358	8	.	.	PUNCT
fbem-26943	359	1	269–287	269–287	NUM
fbem-26943	359	2	,	,	PUNCT
fbem-26943	359	3	apr	apr	NOUN
fbem-26943	359	4	.	.	PROPN
fbem-26943	359	5	2016	2016	NUM
fbem-26943	359	6	.	.	PUNCT
fbem-26943	360	1	[	[	X
fbem-26943	360	2	15	15	NUM
fbem-26943	360	3	]	]	X
fbem-26943	360	4	p.	p.	PROPN
fbem-26943	360	5	r.	r.	PROPN
fbem-26943	360	6	hansen	hansen	PROPN
fbem-26943	360	7	,	,	PUNCT
fbem-26943	360	8	z.	z.	PROPN
fbem-26943	360	9	huang	huang	PROPN
fbem-26943	360	10	,	,	PUNCT
fbem-26943	360	11	c.	c.	PROPN
fbem-26943	360	12	tong	tong	PROPN
fbem-26943	360	13	,	,	PUNCT
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fbem-26943	360	15	t.	t.	PROPN
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fbem-26943	360	18	“	"	PUNCT
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fbem-26943	360	22	cboe	cboe	PROPN
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fbem-26943	360	24	,	,	PUNCT
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fbem-26943	360	27	volatility	volatility	NOUN
fbem-26943	360	28	risk	risk	NOUN
fbem-26943	360	29	premium	premium	NOUN
fbem-26943	360	30	,	,	PUNCT
fbem-26943	360	31	”	"	PUNCT
fbem-26943	360	32	journal	journal	NOUN
fbem-26943	360	33	of	of	ADP
fbem-26943	360	34	financial	financial	ADJ
fbem-26943	360	35	econometrics	econometric	NOUN
fbem-26943	360	36	,	,	PUNCT
fbem-26943	360	37	vol	vol	NOUN
fbem-26943	360	38	.	.	PROPN
fbem-26943	360	39	22	22	NUM
fbem-26943	360	40	,	,	PUNCT
fbem-26943	360	41	no	no	INTJ
fbem-26943	360	42	.	.	NOUN
fbem-26943	360	43	1	1	NUM
fbem-26943	360	44	,	,	PUNCT
fbem-26943	360	45	pp	pp	ADJ
fbem-26943	360	46	.	.	PUNCT
fbem-26943	361	1	187–223	187–223	NUM
fbem-26943	361	2	,	,	PUNCT
fbem-26943	361	3	jan	jan	PROPN
fbem-26943	361	4	.	.	PROPN
fbem-26943	361	5	2024	2024	NUM
fbem-26943	361	6	.	.	PUNCT
fbem-26943	362	1	[	[	X
fbem-26943	362	2	16	16	NUM
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fbem-26943	362	4	p.	p.	NOUN
fbem-26943	362	5	christoffersen	christoffersen	PROPN
fbem-26943	362	6	,	,	PUNCT
fbem-26943	362	7	r.	r.	PROPN
fbem-26943	362	8	elkamhi	elkamhi	PROPN
fbem-26943	362	9	,	,	PUNCT
fbem-26943	362	10	b.	b.	PROPN
fbem-26943	362	11	feunou	feunou	PROPN
fbem-26943	362	12	,	,	PUNCT
fbem-26943	362	13	and	and	CCONJ
fbem-26943	362	14	k.	k.	PROPN
fbem-26943	362	15	jacobs	jacobs	PROPN
fbem-26943	362	16	,	,	PUNCT
fbem-26943	362	17	“	"	PUNCT
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fbem-26943	362	21	conditional	conditional	ADJ
fbem-26943	362	22	heteroskedasticity	heteroskedasticity	NOUN
fbem-26943	362	23	and	and	CCONJ
fbem-26943	362	24	nonnormality	nonnormality	NOUN
fbem-26943	362	25	,	,	PUNCT
fbem-26943	362	26	”	"	PUNCT
fbem-26943	362	27	rev	rev	PROPN
fbem-26943	362	28	.	.	PROPN
fbem-26943	362	29	financ	financ	PROPN
fbem-26943	362	30	.	.	PUNCT
fbem-26943	363	1	stud	stud	PROPN
fbem-26943	363	2	.	.	PUNCT
fbem-26943	364	1	,	,	PUNCT
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fbem-26943	364	3	.	.	PROPN
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fbem-26943	365	2	,	,	PUNCT
fbem-26943	365	3	no	no	INTJ
fbem-26943	365	4	.	.	NOUN
fbem-26943	365	5	5	5	NUM
fbem-26943	365	6	,	,	PUNCT
fbem-26943	365	7	pp	pp	ADJ
fbem-26943	365	8	.	.	PUNCT
fbem-26943	366	1	2139	2139	NUM
fbem-26943	366	2	–	–	PUNCT
fbem-26943	366	3	2183	2183	NUM
fbem-26943	366	4	,	,	PUNCT
fbem-26943	366	5	may	may	AUX
fbem-26943	366	6	2010	2010	NUM
fbem-26943	366	7	.	.	PUNCT
fbem-26943	367	1	[	[	X
fbem-26943	367	2	17	17	NUM
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fbem-26943	367	4	z.	z.	PROPN
fbem-26943	367	5	huang	huang	PROPN
fbem-26943	367	6	,	,	PUNCT
fbem-26943	367	7	t.	t.	PROPN
fbem-26943	367	8	wang	wang	PROPN
fbem-26943	367	9	,	,	PUNCT
fbem-26943	367	10	and	and	CCONJ
fbem-26943	367	11	p.	p.	PROPN
fbem-26943	367	12	r.	r.	PROPN
fbem-26943	367	13	hansen	hansen	PROPN
fbem-26943	367	14	,	,	PUNCT
fbem-26943	367	15	“	"	PUNCT
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fbem-26943	367	17	pricing	pricing	NOUN
fbem-26943	367	18	with	with	ADP
fbem-26943	367	19	the	the	DET
fbem-26943	367	20	realized	realize	VERB
fbem-26943	367	21	garch	garch	NOUN
fbem-26943	367	22	model	model	NOUN
fbem-26943	367	23	:	:	PUNCT
fbem-26943	367	24	an	an	DET
fbem-26943	367	25	analytical	analytical	ADJ
fbem-26943	367	26	approximation	approximation	NOUN
fbem-26943	367	27	approach	approach	NOUN
fbem-26943	367	28	,	,	PUNCT
fbem-26943	367	29	”	"	PUNCT
fbem-26943	367	30	journal	journal	NOUN
fbem-26943	367	31	of	of	ADP
fbem-26943	367	32	futures	future	NOUN
fbem-26943	367	33	markets	market	NOUN
fbem-26943	367	34	,	,	PUNCT
fbem-26943	367	35	vol	vol	NOUN
fbem-26943	367	36	.	.	PROPN
fbem-26943	368	1	37	37	NUM
fbem-26943	368	2	,	,	PUNCT
fbem-26943	368	3	no	no	INTJ
fbem-26943	368	4	.	.	NOUN
fbem-26943	368	5	4	4	NUM
fbem-26943	368	6	,	,	PUNCT
fbem-26943	368	7	pp	pp	ADJ
fbem-26943	368	8	.	.	PUNCT
fbem-26943	369	1	328	328	NUM
fbem-26943	369	2	–	–	PUNCT
fbem-26943	369	3	358	358	NUM
fbem-26943	369	4	,	,	PUNCT
fbem-26943	369	5	apr	apr	NOUN
fbem-26943	369	6	.	.	PROPN
fbem-26943	369	7	2017	2017	NUM
fbem-26943	369	8	.	.	PUNCT
fbem-26943	370	1	[	[	X
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fbem-26943	370	4	j.-c	j.-c	PROPN
fbem-26943	370	5	.	.	PUNCT
fbem-26943	371	1	duan	duan	PROPN
fbem-26943	371	2	and	and	CCONJ
fbem-26943	371	3	j.-g	j.-g	PROPN
fbem-26943	371	4	.	.	PUNCT
fbem-26943	372	1	simonato	simonato	PROPN
fbem-26943	372	2	,	,	PUNCT
fbem-26943	372	3	“	"	PUNCT
fbem-26943	372	4	empirical	empirical	ADJ
fbem-26943	372	5	martingale	martingale	NOUN
fbem-26943	372	6	simulation	simulation	NOUN
fbem-26943	372	7	for	for	ADP
fbem-26943	372	8	asset	asset	NOUN
fbem-26943	372	9	prices	price	NOUN
fbem-26943	372	10	,	,	PUNCT
fbem-26943	372	11	”	"	PUNCT
fbem-26943	372	12	management	management	NOUN
fbem-26943	372	13	science	science	NOUN
fbem-26943	372	14	,	,	PUNCT
fbem-26943	372	15	vol	vol	NOUN
fbem-26943	372	16	.	.	PROPN
fbem-26943	372	17	44	44	NUM
fbem-26943	372	18	,	,	PUNCT
fbem-26943	372	19	no	no	INTJ
fbem-26943	372	20	.	.	NOUN
fbem-26943	372	21	9	9	NUM
fbem-26943	372	22	,	,	PUNCT
fbem-26943	372	23	pp	pp	ADJ
fbem-26943	372	24	.	.	PUNCT
fbem-26943	373	1	1218–1233	1218–1233	NUM
fbem-26943	373	2	,	,	PUNCT
fbem-26943	373	3	sep	sep	PROPN
fbem-26943	373	4	.	.	PROPN
fbem-26943	374	1	1998	1998	NUM
fbem-26943	374	2	.	.	PUNCT