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type="main" xml:id="jtsa12070-abs-0001"A two-step estimation method is proposed for periodic autoregressive parameters via residuals when the observations contain trend and periodic autoregressive time series. The oracle efficiency of the proposed Yule–Walker-type estimator is established. The...
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Country risk assessment is central to the international investment, which recently has increasingly focused on emerging markets (EM). In this paper we proxy for country risk in EM by using time-varying beta. We extend existing literature by applying a dynamic conditional correlation GARCH model....
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