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We propose an aggregate growth index that explicitly accounts for non-normality in the micro-economic distribution of firm growth rates and for the presence of a negative scaling relation between their volatility and the size of the firm. Using Compustat data on US publicly traded company, we...
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with the estimation from the simulated process, though the BC method shows smaller deviations in case of high interest rate …
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. The second part deals with the econometric estimation of speculative dynamics. I find empirical evidence for similar …
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than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …
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