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seasonal unit roots prior to estimation, model selection and forecasting. Various Box-Jenkins Autoregressive Integrated Moving …
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processes or the associated asymptotic theory. In this paper, we first derive necessary conditions for strict stationarity and …
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Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory....
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