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This paper applies Markov-switching multifractal (MSM) processes to model and forecast carbon dioxide (CO2) emission price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH) and the two-state Markov-switching GARCH (MS-GARCH)...
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This study applies wavelet coherency analysis to examine the relationship between the U.S. per capita real GDP and six … the two series. These findings provide a more thorough picture of the relationship between the U.S. per capita real GDP …
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