School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
University of Aarhus - CREATES
in Total Papers Downloads
in Total Papers Citations
Japan, Foreign Exchange Intervention, Exchange Rate Volatility, GARCH, Change Point Detection, Liquidity Trap
Stock market crash, mean reversion, stock return predictability, change-points
option pricing, gamma process, risk management, movie revenues, non-decreasing process, Bayesian update
Japan, Foreign Exchange Intervention, Exchange Rate Volatility, GARCH, Change Point Detection, Structural Breaks
GARCH, volatility persistence, spurious high persistence, long memory, fractional integration, change-points, wavelets
Change-points, persistence, ARMA, VAR, GARCH
Global Warming, Seasonal Models, Structural Change, Amplitude and Phase Shifts
Sea-level, temperature, semi-empirical models, data revisions
Interest Rate Volatility, Home Mortgage Loans
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