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In this paper, we examine the forecasting ability of an affine term structure framework that jointly models the markets for Treasuries, inflation-protected securities, inflation derivatives, and oil future prices based on no-arbitrage restrictions across these markets. On the methodological...
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Capital Asset Pricing Model (CAPM) and cost-ofcarry relationship. We apply the technical trading rules developed from spot … market prices, on futures market prices using a CAPM based hedge ratio. Historical daily prices of twenty stocks from each of …
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One serious problem in deep hole drilling is the occurrence of a dynamic disturbances called spiralling. A common explanation for the occurrence of spiralling is the coincidence of time varying bending eigenfrequencies of the tool with multiples of the spindle rotation frequency. We propose a...
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