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O presente texto serviu como base para a apresentação da lição de síntese do autor, efectuada muito recentemente. Agradecem-se os comentários e as sugestões de Paulo M. M. Rodrigues. Naturalmente, comentários e sugestões adicionais serão muito bem vindos. O principal objectivo deste...
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To investigate time heterogeneity in the e¤ects of fiscal policy in the U.S., we use a non-recursive, Blanchard and Perotti-like structural VAR with time-varying parameters, estimated through Bayesian simulation over the 1965:2-2009:2 period. Our evidence suggests that fiscal policy has lost...
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In this article, we examine the daily water demand forecasting performance of double seasonal univariate time series models (Holt-Winters, ARIMA and GARCH) based on multi-step ahead forecast mean squared errors. A within-week seasonal cycle and a within-year seasonal cycle are accommodated in...
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This paper proposes volatility and spectral based methods for cluster analysis of stock returns. Using the information about both the estimated parameters in the threshold GARCH (or TGARCH) equation and the periodogram of the squared returns, we compute a distance matrix for the stock returns....
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