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large economies, USA, United Kingdom, Germany, France and Japan. The empirical results show that although the pure NGARCH … model performs well, the estimation for the German stock index could be significantly improved by an extension which follows …
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Previous assessments of nominal exchange rate determination have focused upon a narrow set of models typically of the 1970 s vintage, including monetary and portfolio balance models. In this paper we re-assess the in-sample fit and out-of-sample prediction of a wider set of models that have been...
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