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Till Strohsal & Enzo Weber. (2014) Mean-variance cointegration and the expectations hypothesis. Quantitative Finance 14:11, pages 1983-1997.
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Paul M. Beaumont, Stefan C. Norrbin & F. Pinar Yigit. (2008) Time series evidence on the linkage between the volatility and growth of output. Applied Economics Letters 15:1, pages 45-48.
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Stavros Degiannakis & Evdokia Xekalaki. (2007) Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models. Applied Financial Economics 17:2, pages 149-171.
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R. Scott Hacker & Abdulnasser Hatemi-J. (2006) Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application. Applied Economics 38:13, pages 1489-1500.
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Articles from other publishers (5)
Alain Hecq, Sean Telg & Lenard Lieb. (2017) Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?. Econometrics 5:4, pages 48.
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Olusanya E. Olubusoye & OlaOluwa S. Yaya. (2016) Time series analysis of volatility in the petroleum pricing markets: the persistence, asymmetry and jumps in the returns series. OPEC Energy Review 40:3, pages 235-262.
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Stavros Degiannakis & Christos FlorosStavros Degiannakis & Christos Floros. 2015. Modelling and Forecasting High Frequency Financial Data. Modelling and Forecasting High Frequency Financial Data
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Gianluca Cubadda & Alain Hecq. (2021) Reduced Rank Regression Models in Economics and Finance. SSRN Electronic Journal.
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