Browsing Statistics - Undergraduate degree by Subject "Leverage effect"
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An implementation of the LHAR-CJ model with functional coefficients
(2018) [Work completion of graduation]This article aims to compare the forecast performance of the LHAR-CJ model, proposed in Corsi and Renò (2012) and a LHAR-CJ model with functional coefficients for a Vale return series. This new model, instead of estimating ...