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installation of a “cash for clunkers” subsidy by the German government in 2009 to assess implied disruptions in the German …
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The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the...
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