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We confirm that standard time-series models for US output growth, inflation, interest rates and stock market returns feature non-Gaussian error structure. We build a 4-variable VAR model where the orthogonolised shocks have a Student t-distribution with a time-varying variance. We find that in...
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detect outliers in the Maltese Pension Schemes and Insurance datasets, which are collected by the Bank, at micro-level. The … motive behind this study is to develop an outlier detection model which can detect outliers in both short and long time …
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