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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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We propose a useful way to predict building permits in the US, exploiting rich real-time data from web search queries. The time series on building permits is usually considered as a leading indicator of economic activity in the construction sector. Nevertheless, new data on building permits are...
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