-
Permanent vs transitory components and economic fundamentals (replication data)
Any non-stationary series can be decomposed into permanent (or trend) and transitory (or cycle) components. Typically some atheoretic pre-filtering procedure is applied to... -
An empirical application of stochastic volatility models (replication data)
This paper studies the empirical performance of stochastic volatility models for twenty years of weekly exchange rate data for four major currencies. We concentrate on the...
