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convenient framework for simultaneously handling nonlinearity, structural change and outliers in time series. Many popular …
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distribution in forecasting multiple-period value at risk, especially when the right tail of the return distribution, i.e. in the … forecasting, which are Basel requirements for capital adequacy calculation. …
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Threshold models try to explain the consequences of social influence like the spread of fads and opinions. Along with models of epidemics, they constitute a major theoretical framework of social spreading processes. In threshold models on static networks, an individual changes her state if a...
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Predictive regressions are linear specifications linking a noisy variable such as stock returns to past values of a more persistent regressor such as valuation ratios, interest rates etc with the aim of assessing the presence or absence of predictability. Key complications that arise when...
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