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standard GARCH specification, the non-linear models generally lead to better forecasts in terms of both smaller forecast errors … price indexes. Forecasts produced by each non-linear GARCH model and each index are evaluated using a common set of … classical criteria, as well as forecast combination techniques with constant and non-constant weights. With respect to the …
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This note discusses the generational incidence of consumption taxes in an OLG framework. The objective is to highlight the channels through which an increase in, e.g., a VAT redistributes income across generations. It turns out that with labor supply exogenous VAT incidence is very similar to...
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This paper contributes to the growing literature on mean reversion in stock markets by examining a newly constructed Danish data set for the period 1922-95. Variance ratio tests clearly reject the random walk hypothesis at the 2-year horizon, that is, the riskiness of a 2- year investment is...
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