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Chernov, Mikhail - 2015

% (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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Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - 2012

parameterization and scaling, which are key features of GAS models compared to other observation driven models. The Dudley entropy …

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Jäger, Simon - 2008

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