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the GMM test statistics perform poorly. In fact, the finite sample properties of the test statistics suggest the rejection …
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This paper was presented at the conference "Economic Statistics: New Needs for the Twenty-First Century," cosponsored …
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The purpose of this conference was to deepen our understanding of some of the key conceptual issues current facing those charged with measuring the performance of the U.S. economy and other economies around the globe. The speakers discussed recent efforts to improve economic and financial data...
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-based economy in order to explore the crucial role of the OECD in its dissemination and, above all, the role statistics have played …
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This paper examines the performance of implied correlations in forecasting subsequently realized correlations between exchange rates. Implied correlations are derived from sets of implied volatilities on the three exchange rates in a currency trio. We compare the forecasting performance of the...
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