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Multi-scale transition matrix approach to time series. (2021). Yang, Huijie ; Gu, Changgui ; Weng, Tongfeng ; Zhang, Jing ; Semba, Sherehe ; Yuan, Qianshun.
In: Physica A: Statistical Mechanics and its Applications.
RePEc:eee:phsmap:v:578:y:2021:i:c:s0378437121003897.

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  1. Bridge successive states for a complex system with evolutionary matrix. (2024). Yang, Huijie ; Gu, Changgui.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:637:y:2024:i:c:s0378437124000426.

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  2. A multi-scale transition matrix approach to chaotic time series. (2023). Yang, Huijie ; Gu, Changgui ; Wang, Haiying ; Zhang, Jing ; Yuan, Qianshun.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:172:y:2023:i:c:s0960077923004903.

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  39. Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach. (2002). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude .
    In: Cahiers de recherche.
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  40. Choosing Lag Lengths in Nonlinear Dynamic Models. (2002). Anderson, Heather.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-21.

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  41. Estimation of Hyperbolic Diffusion Using MCMC Method. (2002). Zhang, Xibin ; Yu, Jun ; Tse, Y. K..
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-18.

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  42. A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options. (2002). Zhang, Xibin ; Yu, Jun ; Yang, Zhenlin.
    In: Monash Econometrics and Business Statistics Working Papers.
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  43. Detecting multiple breaks in financial market volatility dynamics. (2002). Ghysels, Eric ; Andreou, Elena.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:579-600.

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  44. Financial volatility: an introduction. (2002). McAleer, Michael ; Franses, Philip Hans.
    In: Journal of Applied Econometrics.
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  45. Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach. (2002). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude .
    In: CIRANO Working Papers.
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  46. Investor Panic, IMF Actions, and Emerging Stock Market Returns and Volatility. (2001). Kutan, Ali ; Hayo, Bernd.
    In: International Finance.
    RePEc:wpa:wuwpif:0112001.

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  47. Saving and growth in an open economy. (2001). Scobie, Grant ; Claus, Iris ; Haugh, David ; Tornquist, Jonas.
    In: Treasury Working Paper Series.
    RePEc:nzt:nztwps:01/32.

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  48. Modelling the conditional volatility of commodity index futures as a regime switching process. (2001). See, Kim Hock ; Fong, Wai Mun.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:16:y:2001:i:2:p:133-163.

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  49. Income variance dynamics and heterogenity. (2001). Pistaferri, Luigi ; Meghir, Costas.
    In: IFS Working Papers.
    RePEc:ifs:ifsewp:01/07.

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  50. Empirical Pricing Kernels. (2000). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-014.

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  51. Density Forecasting: A Survey. (2000). Wallis, Kenneth ; Tay, Anthony S.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0370.

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  52. A small structural empirical model of the UK monetary transmission mechanism. (2000). Thomas, Ryland ; Pain, Darren ; Dhar, Shamik.
    In: Bank of England working papers.
    RePEc:boe:boeewp:113.

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  53. Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate. (2000). Rodríguez N., Norberto ; Rodriguez, Norberto .
    In: Borradores de Economia.
    RePEc:bdr:borrec:161.

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  54. Testing the Volatility Term Structure using Option Hedging Criteria. (1998). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:98-031.

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  55. Some Univariate Time Series Properties of Output. (1998). Arango Thomas, Luis.
    In: Borradores de Economia.
    RePEc:bdr:borrec:100.

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  56. General-to-specific procedures for fitting a data-admissible, theory- inspired, congruent, parsimonious, encompassing, weakly-exogenous, identified, structural model to the DGP: a translation and crit. (1997). Whiteman, Charles ; Faust, Jon.
    In: International Finance Discussion Papers.
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  57. Multifractality of Deutschemark/US Dollar Exchange Rates. (1997). Mandelbrot, Benoît ; Fisher, Adlai ; Calvet, Laurent.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1166.

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  58. A Multifractal Model of Asset Returns. (1997). Mandelbrot, Benoît ; Fisher, Adlai ; Calvet, Laurent.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1164.

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  59. Do Inter-sectoral Linkages Matter for International Export Specialisation?. (1997). Laursen, Keld ; Drejer, Ina.
    In: DRUID Working Papers.
    RePEc:aal:abbswp:97-15.

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  60. ARMA-GARCH Models: Bayes Estimation Versus MLE, and Bayes Non-stationarity Test. (1996). Nakatsuma, Teruo ; Tsurumi, Hiroki .
    In: Departmental Working Papers.
    RePEc:rut:rutres:199619.

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  61. Broad money demand and financial liberalization in Greece. (1996). Sharma, Sunil ; Ericsson, Neil.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:559.

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  62. Does Modern Econometrics replicate the Phillips Curve?. (1996). Shadman, Fatemeh.
    In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
    RePEc:ctl:louvir:1996015.

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  63. Time-Varying Risk Premia in the Foreign Currency Futures Basis. (1996). Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:281.

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  64. Does Inflation Uncertainty Vary with the Level of Inflation?. (1996). Crawford, A ; Kasumovich, M.
    In: Staff Working Papers.
    RePEc:bca:bocawp:96-09.

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  65. Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real of Imagined?. (1996). Vigfusson, Robert ; van Norden, Simon ; Murray, J..
    In: Technical Reports.
    RePEc:bca:bocatr:76.

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  66. The Impact of Technological Opportunity on the Dynamics of Trade Performance. (1996). Laursen, Keld.
    In: DRUID Working Papers.
    RePEc:aal:abbswp:96-12.

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  67. GARCH Gamma. (1995). Rosenberg, Joshua ; Engle, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5128.

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