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prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …
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The efficient market hypothesis implies that asset prices cannot be cointegrated. On the other hand, arbitrage processes prevent prices of fundamentally related assets from drifting far away. An attractive model that reconciles these two conflicting facts is the nonlinear error correction...
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policy was satisfied. -- cointegration analysis ; monetary policy ; Markov regime switching analysis ; money demand ; vector …
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This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real …. -- fractional integration ; fractional cointegration ; real exchange rates …
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Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on …
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