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We use no arbitrage models with macro variables to study the interaction between the macroeconomy and the yield curve …) Monetary Authorities are conservative in Brazil, smoothing short rate fluctuations; 3) inflation shock, or slope shock …
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This paper contributes to characterizing the probability density of the price returns in some European day-ahead electricity markets (NordPool, APX, Powernext) by fitting some flexible and general families of distributions, such as the α-stable, Normal Inverse Gaussian (NIG), Exponential Power...
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