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One proposal, made by the central bank in February 1998, was to return to an exchange rate band, with the lower end set at Rp 10,000/$, and to use interest rates vigorously to
Kapetanios, George, Labhard, Vincent, and Price, Simon, “Forecasting Using Bayesian and Information-Theoretic Model Averaging: An Application to U.K. Inflation,” 33 Kaufmann, Sylvia
In the cases of independent noise and noise with dependence in tick time, the volatility is identifiable even though HL’s es- timators are inconsistent.. On the other hand,
If the competition structure is the same across all auctions and within each auction (i.e., in each stage the same number of agents, on average, competes over the object), then
That we nd evidence for a volatility reduction in aggregate - nal sales is perhaps not surprising given that we have already shown that the Bayesian model comparison nds evidence
Using monthly real exchange rate data, our test rejects the null of unit-root against a threshold process for five European series.. KEY WORDS: Mixing conditions; Real exchange
On the other hand, for the affine jump diffusion model (and all models in which Brownian motion is used in the spec- ification of the stochastic volatility), the volatility activity
Using the data set of Watanabe (2000), Liesenfeld and Richard estimated the sto- chastic volatility model and the Tauchen and Pitts (1983) model based on the maximum likelihood
