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We use a vector error correction model to study the long-term relationship between aggregate expected default frequency and the macroeconomic development, i.e. CPI, industry production and short-term interest rate. The model is used to forecast the median expected default frequency of the...
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there exists long & short run cointegration relationship between unemployment rate and other variables. Granger Causality …One of the major issue for policy makers is handling with continues increase in the level of unemployment in Pakistan …. Thus forecasting unemployment rate is imperative to policy makers. This study aims to explore the best forecasting model …
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a vector error-correction model of daily highs and lows. Contrary to intuition, models based on co-integration of daily …
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