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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... -
Panel data nowcasting: The case of price-earnings ratios (replication data)
This archive contains the replication data for the paper "Panel data nowcasting: The case of price-earnings ratios" by Andrii Babii, Ryan Ball, Eric Ghysels and Jonas Striaukas,...
