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Persistent variations in the log price-to-dividend ratio (PtDR) have triggered a lively discussion in the literature. This paper proposes a present value model incorporating this persistence through a time-varying steady state of the PtDR. Log-likelihood statistics confirm that the time-varying...
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Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in … complete extreme dependence structure of a portfolio. We also present a simple nonparametric estimation procedure. To show our …
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