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This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany and Japan, and for robustness purposes considers...
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This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...
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Education has been one of the key determinants of economic growth around the world since 1965. In this paper, we …
Persistent link: https://www.econbiz.de/10011506215
Education has been one of the key determinants of economic growth around the world since 1965. In this paper, we …
Persistent link: https://www.econbiz.de/10001740781