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% (and can be as high as 40%) of total currency risk, as measured by the entropy of exchange rate changes, over horizons of …
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We develop a simple model of a speculative housing market in which the demand for houses is influenced by expectations about future housing prices. Guided by empirical evidence, agents rely on extrapolative and regressive forecasting rules to form their expectations. The relative importance of...
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parameterization and scaling, which are key features of GAS models compared to other observation driven models. The Dudley entropy …
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