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A flexible parametric GARCH model with an application to exchange rates (repl...
Many asset prices, including exchange rates, exhibit periods of stability punctuated by infrequent, substantial, often one-sided adjustments. Statistically, this generates... -
Autoregressive conditional heteroscedasticity in commodity spot prices (repli...
Muth's (1961) rational expectations model of commodity markets implies that inventory carryover creates ARCH processes in prices. The model also indicates that the expected...
