The paper derives fair volatility as the level implied by semi-martingale dynamics under market efficiency within the MPRE framework and empirically associates deviations with momentum or mean-reverting regimes.
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Fair Volatility: A Framework for Reconceptualizing Financial Risk
The paper derives fair volatility as the level implied by semi-martingale dynamics under market efficiency within the MPRE framework and empirically associates deviations with momentum or mean-reverting regimes.