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Investigating stability and linearity of a German M1 money demand function (r...
Starting from a linear error correction model (ECM) the stability and linearity of a German M1 money demand function are investigated, applying smooth transition regression... -
Testing for a unit root in the volatility of asset returns (replication data)
It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is...
