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Systemic risk diagnostics : coincident indicators and early warning signals

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2011

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Multiple cyclical fractional structures in financial time series

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Credit market and macroeconomic volatility

Mendicino, Caterina (contributor) - 2007

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Persistent link: https://www.econbiz.de/10003456411

A multivariate long-memory model with structural breaks

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Mean reversion in the Nikkei, Standard & Poor and Dow Jones stock market indices

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