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Modelling volatility cycles: the MF2-GARCH model (replication data)
We propose a novel multiplicative factor multi-frequency GARCH (MF2-GARCH) model, which exploits the empirical fact that the daily standardized forecast errors of one-component... -
The CAPM with Measurement Error: "There's life in the old dog yet!" Replicati...
The replication data contain MATLAB and GAUSS codes as well as the data required for replication of the results from the paper 1. Monte Carlo Simulation: Contains codes and data...
