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Recurrent conditional heteroskedasticity (replication data)
We propose a new class of financial volatility models, called the REcurrent Conditional Heteroskedastic (RECH) models, to improve both in-sample analysis and out-of-sample... -
A regularization approach to common correlated effects estimation (replicatio...
Cross-section average-augmented panel regressions introduced by Pesaran (2006) have been a popular empirical tool to estimate panel data models with common factors. However, the...
