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An empirical analysis of alternative parametric ARCH models (replication data)
This paper presents empirical evidence on the effectiveness of eight different parametric ARCH models in describing daily stock returns. Twenty-seven years of UK daily data on a... -
The effects of real and nominal uncertainty on inflation and output growth: s...
In this paper we use GARCH-M methods to test four hypotheses about the effects of real and nominal uncertainty on average inflation and output growth in the United States from...
