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ACTA WASAENSIA 143Box, G. E. P. & G. C. Tiao (1973). Baysian Inference in Statistical Analysis. Addison-Wesley, Reading, Massachusetts.Boyer, B. H., M. S. Gibson & M. Loretan (1999). Pitfalls in tests for changes incorrelations. International Finance Discussion Paper 597, Board of Governors of theFederal Reserve System, Washington DC.Braun, P. A., D. B. Nelson & A. M. Sunier (1995). Good news, bad news, volatility,and betas. Journal of Finance 50:5, 1575—1603.Breen, W. J. & R. A. Korajczyk (1995). On selection biases in book-to-market basedtests of asset pricing models. Working Paper 167, Kellog Graduate Shool of Management,Northwestern University.Breidt, F. J., N. Crato & P. de Lima (1998). The detecetion and estimation of longmemory in stochastic volatility. Journal of Econometrics 83, 325—348.Brennan, M. J., T. Chordia & A. Subrahmanyam (1998). Alternative factor specifications,security characteristics and the cross-section of expected stock returns.Journal of Financial Economics 49, 345—373.Breymann, W., S. Ghashghaie & P. Talkner (2000). A stochastic cascade model for fxdynamics. International Journal of Theoretical and Applied Finance 3:3, 357—360.Brock, W., W. Dechert & J. Scheinkman (1987). A test for independence based on thecorrelation dimension. Working Paper 9520, University of Wisconsin at Madison.Brock, W. A. & C. H. Hommes (1997). A rational route to randomness. Econometrica65:5, 1059—1095.Brock, W. A. & C. H. Hommes (1998). Heterogeneous beliefs and routes to chaosin a simple asset pricing model. Journal of Economic Dynamics and Control 22,1235—1274.Brock,W.A.,D.A.Hsieh&B.LeBaron(1991). Nonlinear Dynamics, Chaos, andInstability. MIT Press, Cambridge.Brock, W. A., J. Lakonishok & B. LeBaron (1992). Simple technical trading rules andthe stochastic properties of stock returns. Journal of Finance 47:5, 1731—1764.
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ACTA WASAENSIA 7A5 Matlabcodeforerr
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10 ACTA WASAENSIAIn chapter 5 I sha
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12 ACTA WASAENSIA2 Statistical Prop
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14 ACTA WASAENSIA2.2 Absence of Ser
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ACTA WASAENSIA 17The survival or ta
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ACTA WASAENSIA 19& Scheinkman (1987
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ACTA WASAENSIA 212.6 Long Range Dep
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ACTA WASAENSIA 23A particular class
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26 ACTA WASAENSIAMultiscaling may t
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28 ACTA WASAENSIAHansen (1982) to c
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30 ACTA WASAENSIAThe leverage hypot
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32 ACTA WASAENSIAIn order to aviod
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34 ACTA WASAENSIAon a risk-adjusted
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36 ACTA WASAENSIAplanations for the
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38 ACTA WASAENSIAspeculative prices
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40 ACTA WASAENSIAindex α is howeve
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42 ACTA WASAENSIAThis approach has
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44 ACTA WASAENSIAimplying exponenti
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46 ACTA WASAENSIA3.2.4 Descriptive
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48 ACTA WASAENSIAdivisible version
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50 ACTA WASAENSIAto check their ade
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52 ACTA WASAENSIAvolatility into th
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54 ACTA WASAENSIAfeedback of the co
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56 ACTA WASAENSIAarriving at the fo
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58 ACTA WASAENSIAat iteration k com
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60 ACTA WASAENSIAmultipliers in the
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62 ACTA WASAENSIALux & Ausloos (200
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64 ACTA WASAENSIAmarkets dominated
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66 ACTA WASAENSIAThe “representat
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68 ACTA WASAENSIA(1983) 114 motivat
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70 ACTA WASAENSIAIn the following w
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72 ACTA WASAENSIASethi (1996) exten
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74 ACTA WASAENSIASummation over all
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76 ACTA WASAENSIAthe microscopic un
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78 ACTA WASAENSIA& Winker (2003) an
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80 ACTA WASAENSIAWe wish to obtain
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82 ACTA WASAENSIAindividual markets
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84 ACTA WASAENSIAreturn series. I l
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86 ACTA WASAENSIASwitches between c
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88 ACTA WASAENSIAfollowing necessar
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90 ACTA WASAENSIATable 1. Parameter
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- Page 136 and 137: 136 ACTA WASAENSIAIn order to test
- Page 138 and 139: 138 ACTA WASAENSIAReferencesAbhyank
- Page 140 and 141: 140 ACTA WASAENSIABaillie, R. T. (1
- Page 144 and 145: 144 ACTA WASAENSIAButler, R. J., J.
- Page 146 and 147: 146 ACTA WASAENSIACont, R. (2001).
- Page 148 and 149: 148 ACTA WASAENSIAEmbrechts, P., C.
- Page 150 and 151: 150 ACTA WASAENSIAFielitz, B. D. (1
- Page 152 and 153: 152 ACTA WASAENSIAGhysels, E., A. C
- Page 154 and 155: 154 ACTA WASAENSIAHeston, S. L. (19
- Page 156 and 157: 156 ACTA WASAENSIAKaldor, N. (1939)
- Page 158 and 159: 158 ACTA WASAENSIALiesenfeld, R. (1
- Page 160 and 161: 160 ACTA WASAENSIALye, J. N. & V. L
- Page 162 and 163: 162 ACTA WASAENSIAMikosch, T. (2003
- Page 164 and 165: 164 ACTA WASAENSIAPindyck, R. S. (1
- Page 166 and 167: 166 ACTA WASAENSIASethi, R. (1996).
- Page 168 and 169: 168 ACTA WASAENSIATesfatsion, L. &
- Page 170 and 171: 170 ACTA WASAENSIAAAppendixA1Matlab
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- Page 178 and 179: 178 ACTA WASAENSIA45 end464748 % In
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- Page 182 and 183: 182 ACTA WASAENSIAA4Matlab code for
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- Page 188 and 189: 188 ACTA WASAENSIAA6Matlab code for
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192 ACTA WASAENSIA185 fcash = fcash
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194 ACTA WASAENSIA279280281 %Output
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196 ACTA WASAENSIA(4.20), and o(τ
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198 ACTA WASAENSIAas t = n k P ˙
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200 ACTA WASAENSIA nBn˙f2 = v B n
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202 ACTA WASAENSIA f˙1−c1 = v B
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204 ACTA WASAENSIAlocal stability o