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cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization …
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. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …
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A structural break is viewed as a permanent change in the parameter vector of a model. Using taxonomies of all sources of forecast errors for both conditional mean and conditional variance processes, we consider the impacts of breaks and their relevance in forecasting models: (a) where the...
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