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In this study, the extended Overnight Index Rate (OIR) model is presented. The fitting function for the probability distribution of the OIR daily returns is based on three different Gaussian distributions which provide modelling of the narrow central peak and the wide fat-tailed component. The...
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The authors point out that autocorrelation is an accidental statistical phenomenon. The cause of the occurrence of … collinearity is the incomplete data base and that ideally, the elimination of the occurrence of autocorrelation is achieved by … proportional distribution of autocorrelation with the proportion of simple determinations, following the next six steps, the last …
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using the sample autocorrelation function (ACF) to identify long-memory processes. While the ACF establishes the theoretical …
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