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FinAnalytica Inc www.finanalytica.com has a multi-asset class commercial implementation including fitted classical tempered stable distributions and fitted skewed t-distributions (for lower frequency data) in its software named Cognity. You should talk to those guys. Their backtests do all the talking...risk forecasts from left tail all the way through to ...


i would guess the value of volatility that makes the variance swap with strike equal to it have zero value.

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