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There is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical...
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Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate …
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output by 140 to 180% if it could adopt the world's best practice in the financial sector. Still, this amounts to only 34 to …
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components for a large data set comprising the U.S., the EU-27 area, and the respective rest of the world. Credit risk conditions …
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