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Figures and Tables
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Tab I
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Fig 1 – The normal and excited instantaneous volatility curves
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Fig. 2- The Instantaneous Volatility Path: Model Data (5 x 5)
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Fig. 3 - The Implied Volatility Path: Model Data (US$) – 5 x 5 swap vol
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Fig. 4 Implied Path Empirical (10 x 10 USD)
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Fig. 5- Implied Path Empirical (1 x 3 EUR)
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Fig. 6 – Fitting to Market Smile
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Tab Kurt: Model and Real Kurtosis
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Tab Kurt2: Model and Real Kurtosis
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Tab Skew:Model and Real Skew
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Tab Skew:Model and Real Skew
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Fig 7: Eigenvectors: real data
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Fig 8 - Eigenvectors: new approach
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Fig 9 - Eigenvalues: real data
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Fig 10 - Eigenvalues: model data
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Tab DetVol
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Fig 11
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Fig 12 See next page
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