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Abstract A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic)
process introduced in Engle (1982) to allow for past conditional variances in the current
conditional variance equation is proposed. Stationarity conditions and autocorrelation ...
Abstract Although volatility clustering has a long history as a salient empirical regularity
characterizing high-frequency speculative prices, it was not until recently that applied
researchers in finance have recognized the importance of explicitly modeling time-varying ...
T Bollerslev… - Econometric reviews, 1992 - Taylor & Francis
We study the properties of the quasi-maximum likelihood estimator (QMLE) and related test
statistics in dynamic models that jointly parameterize conditional means and conditional
covariances, when a normal log-likelihood os maximized but the assumption of normality ...
T Bollerslev, RF Engle… - The Journal of Political Economy, 1988 - JSTOR
The capital asset pricing model provides a theoretical structure for the pricing of assets with
uncertain returns. The premium to induce risk-averse investors to bear risk is proportional to
the nondiversifiable risk, which is measured by the covariance of the asset return with the ...
T Bollerslev - The Review of Economics and Statistics, 1990 - JSTOR
A multivariate time series model with time varying conditional variances and covariances,
but constant conditional correlations is proposed. In a multivariate regression framework, the
model is readily interpreted as an extension of the Seemingly Unrelated Regression (SUR ...
T Bollerslev - The review of economics and statistics, 1987 - JSTOR
The distribution of speculative price changes and rates of return data tend to be uncorrelated
over time but characterized by volatile and tranquil periods. A simple time series model
designed to capture this dependence is presented. The model is an extension of the ...
TG Andersen,
T Bollerslev, FX Diebold… - Econometrica, 2003 - Wiley Online Library
We provide a framework for integration of high–frequency intraday data into the
measurement, modeling, and forecasting of daily and lower frequency return volatilities and
return distributions. Building on the theory of continuous–time arbitrage–free price ...
RF Engle… - Econometric reviews, 1986 - Taylor & Francis
This paper will discuss the current research in building models of conditional variances
using the Autoregressive Conditional Heteroskedastic (ARCH) and Generalized ARCH
(GARCH) formulations. The discussion will be motivated by a simple asset pricing theory ...
TG Andersen… - International Economic Review, 1998 - JSTOR
A voluminous literature has emerged for modeling the temporal dependencies in financial
market volatility using ARCH and stochastic volatility models. While most of these studies
have documented highly significant in-sample parameter estimates and pronounced ...
Using high-frequency data on Deutschemark and Yen returns against the dollar, we
construct model-free estimates of daily exchange rate volatility and correlation, covering an
entire decade. In addition to being model-free, our estimates are also approximately free ...
The new class of Fractionally Integrated Generalized AutoRegressive Conditionally
Heteroskedastic (FIGARCH) processes is introduced. The conditional variance of the
process implies a slow hyperbolic rate of decay for the influence of lagged squared ...
TG Andersen,
T Bollerslev, FX Diebold… - Journal of Financial …, 2001 - Elsevier
We examine “realized” daily equity return volatilities and correlations obtained from high-
frequency intraday transaction prices on individual stocks in the Dow Jones Industrial
Average. We find that the unconditional distributions of realized variances and ...
RT Baillie… - Journal of Business and Economic …, 2002 - Taylor & Francis
Formal testing procedures confirm the presence of a unit root in the autoregressive
ploynomial of the univariate time series representation of daily exchange-rate data. the first
differences of the logarithms of daily spot rates are approximately uncorrelated through ...
TG Andersen… - Journal of empirical finance, 1997 - Elsevier
The pervasive intraday periodicity in the return volatility in foreign exchange and equity
markets is shown to have a strong impact on the dynamic properties of high frequency
returns. Only by taking account of this strong intraday periodicity is it possible to uncover ...
TG Andersen… - the Journal of Finance, 1998 - Wiley Online Library
This paper provides a detailed characterization of the volatility in the deutsche mark–dollar
foreign exchange market using an annual sample of five-minute returns. The approach
captures the intraday activity patterns, the macroeconomic announcements, and the ...
A new class of fractionally integrated GARCH and EGARCH models for characterizing
financial market volatility is discussed. Monte Carlo simulations illustrate the reliability of
quasi maximum likelihood estimation methods, standard model selection criteria, and ...
Using a new dataset consisting of six years of real-time exchange rate quotations,
macroeconomic expectations, and macroeconomic realizations (announcements), we
characterize the conditional means of US dollar spot exchange rates versus German Mark ...
TG Andersen… - 1996 - nber.org
Recent empirical evidence suggests that the long-run dependence in financial market
volatility is best characterized by a slowly mean-reverting fractionally integrated process. At
the same time, much shorter-lived volatility dependencies are typically observed with high ...
Univariate tests reveal strong evidence for the presence of a unit root in the univariate time-
series representation for seven daily spot and forward exchange rate series. Furthermore, all
seven spot and forward rates appear to be cointegrated; that is, the forward premiums are ...
RT Baillie… - The Review of Economic …, 1991 - restud.oxfordjournals.org
Abstract Four foreign exchange spot rate series, recorded on an hourly basis for a six-month
period in 1986 are examined. A seasonal GARCH model is developed to describe the time-
dependent volatility apparent in the percentage nominal return of each currency. Hourly ...
TG Andersen,
T Bollerslev… - The Review of Economics and …, 2007 - MIT Press
Abstract A growing literature documents important gains in asset return volatility forecasting
via use of realized variation measures constructed from high-frequency returns. We progress
by using newly developed bipower variation measures and corresponding nonparametric ...
We characterize the response of US, German and British stock, bond and foreign exchange
markets to real-time US macroeconomic news. Our analysis is based on a unique data set of
high-frequency futures returns for each of the markets. We find that news surprises ...
Volatility has been one of the most active areas of research in empirical finance and time
series econometrics during the past decade. This chapter provides a unified continuous-
time, frictionless, no-arbitrage framework for systematically categorizing the various ...
The behavior of quote arrivals and bid-ask spreads is examined for continuously recorded
deutsche mark-dollar exchange rate data over time, across locations, and by market
participants. A pattern in the intraday spread and intensity of market activity over time is ...
TG Andersen,
T Bollerslev, PF Christoffersen… - Handbook of economic …, 2006 - Elsevier
Abstract Volatility has been one of the most active and successful areas of research in time
series econometrics and economic forecasting in recent decades. This chapter provides a
selective survey of the most important theoretical developments and empirical insights to ...
Multivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev
(1989a) and Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a
group of exchange rates are cointegrated. Further analysis of the deviations from the ...
T Bollerslev… - Econometrica: Journal of the Econometric Society, 1993 - JSTOR
Since the introduction of the autoregressive conditional heteroskedastic (ARCH) model in
Engle (1982), numerous applications of this modeling strategy have already appeared. A
common finding in many of these studies with high frequency financial or monetary data ...
RT Baillie… - Journal of International Money and Finance, 1990 - Elsevier
Abstract Assuming that daily spot exchange rates follow a martingale process, we derive the
implied time series process for the vector of 30-day forward rate forecast errors from using
weekly data. The conditional second moment matrix of this vector is modelled as a ...
RT Baillie… - Journal of International Money and Finance, 2000 - Elsevier
The forward premium anomaly refers to the widespread empirical finding that the slope
coefficient in the regression of the change in the logarithm of the spot exchange rate on the
forward premium is invariably less than unity, and often negative. This “anomaly” implies ...
T Bollerslev… - Journal of Business & Economic Statistics, 1996 - JSTOR
Most high-frequency asset returns exhibit seasonal volatility patterns. This article proposes a
new class of models featuring periodicity in conditional heteroscedasticity explicitly
designed to capture the repetitive seasonal time variation in the second-order moments. ...
TG Andersen,
T Bollerslev… - Journal of Empirical Finance, 1999 - Elsevier
This paper explores the return volatility predictability inherent in high-frequency speculative
returns. Our analysis focuses on a refinement of the more traditional volatility measures, the
integrated volatility, which links the notion of volatility more directly to the return variance ...
We exploit the distributional information contained in high-frequency intraday data in
constructing a simple conditional moment estimator for stochastic volatility diffusions. The
estimator is based on the analytical solutions of the first two conditional moments for the ...
It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian
distribution tails are typically reduced but not eliminated when returns are standardized by
volatilities estimated from popular models such as GARCH. We consider two major dollar ...
RT Baillie… - Journal of Econometrics, 1992 - Elsevier
Abstract This paper considers forecasting the conditional mean and variance from a single-
equation dynamic model with autocorrelated disturbances following an ARMA process, and
innovations with time-dependent conditional heteroskedasticity as represented by a linear ...
[CITATION] Great realisations
T Andersen,
T Bollerslev… - RISK-LONDON- …, 2000 - RISK MAGAZINE LIMITED
T Bollerslev… - Journal of International Economics, 1994 - Elsevier
Abstract Consistent with the implications from a simple asymmetric information model for the
bid-ask spread, we present empirical evidence that the size of the bid-ask spread in the
foreign exchange market is positively related to the underlying exchange rate uncertainty. ...
RT Baillie… - Journal of International Money and Finance, 1994 - Elsevier
Abstract The estimation of ARFIMA models by approximate maximum likelihood estimation
methods, reveals the forward premia for the currencies of Canada, Germany and the UK vis-
à-vis the US dollar, to be well described by a fractionally integrated process. These ...
TG Andersen,
T Bollerslev… - Econometrica, 2005 - Wiley Online Library
We develop general model-free adjustment procedures for the calculation of unbiased
volatility loss functions based on practically feasible realized volatility benchmarks. The
procedures, which exploit recent nonparametric asymptotic distributional results, are both ...
T Bollerslev, G Tauchen… - Review of Financial …, 2009 - Soc Financial Studies
Abstract Motivated by the implications from a stylized self-contained general equilibrium
model incorporating the effects of time-varying economic uncertainty, we show that the
difference between implied and realized variation, or the variance risk premium, is able to ...
TG Andersen,
T Bollerslev… - International Economic …, 2004 - Wiley Online Library
Estimation and forecasting for realistic continuous-time stochastic volatility models is
hampered by the lack of closed-form expressions for the likelihood. In response, Andersen,
Bollerslev, Diebold, and Labys (Econometrica, 71 (2003), 579–625) advocate forecasting ...
T Bollerslev, M Gibson… - Journal of Econometrics, 2011 - Elsevier
This paper proposes a method for constructing a volatility risk premium, or investor risk
aversion, index. The method is intuitive and simple to implement, relying on the sample
moments of the recently popularized model-free realized and option-implied volatility ...
T Bollerslev, J Cai… - Journal of empirical finance, 2000 - Elsevier
In this paper, we provide a detailed characterization of the return volatility in US Treasury
bond futures contracts using a sample of 5-min returns from 1994 to 1997. We find that
public information in the form of regularly scheduled macroeconomic announcements is ...
TG Andersen,
T Bollerslev, FX Diebold - in LP Hansen and Y. Ait- …, 2004 - Citeseer
Abstract the problems and opportunities facing the financial services industry in its search for
competitive excellence. The Center's research focuses on the issues related to managing
risk at the firm level as well as ways to improve productivity and performance. The Center ...
T Bollerslev… - Journal of Business & Economic Statistics, 1999 - JSTOR
This article examines the behavior of equity trading volume and volatility for the individual
firms composing the Standard & Poor's 100 composite index. Using multivariate spectral
methods, we find that fractionally integrated processes best describe the long-run ...
Recent empirical findings suggest that the long-run dependence in US stock market volatility
is best described by a slowly mean-reverting fractionally integrated process. The present
study complements this existing time-series-based evidence by comparing the risk- ...
This paper provides a simple theoretical framework for assessing the empirical linkages
between returns and realized and implied volatilities. First, we show that whereas the
volatility feedback effect as measured by the sign of the correlation between ...
T Bollerslev, J Litvinova… - Journal of Financial …, 2006 - Oxford Univ Press
Abstract We examine the relationship between volatility and past and future returns using
high-frequency aggregate equity index data. Consistent with a prolonged “leverage” effect,
we find the correlations between absolute high-frequency returns and current and past ...
TG Andersen,
T Bollerslev, P Christoffersen… - 2007 - nber.org
It is now widely agreed that financial asset return volatilities and correlations (henceforth
“volatilities”) are time varying, with persistent dynamics. This is true across assets, asset
classes, time periods, and countries. Moreover, asset return volatilities are central to ...
Recent empirical studies have argued that the temporal dependencies in financial market
volatility are best characterized by long memory, or fractionally integrated, time series
models. Meanwhile, little is known about the properties of the semiparametric inference ...
TG Andersen,
T Bollerslev… - Journal of Econometrics, 2007 - Elsevier
We develop a sequential procedure to test the adequacy of jump-diffusion models for return
distributions. We rely on intraday data and nonparametric volatility measures, along with a
new jump detection technique and appropriate conditional moment tests, for assessing ...
TG Andersen… - 1997 - nber.org
Volatility permeates modern financial theories and decision making processes. As such,
accurate measures and good forecasts of future volatility are critical for the implementation
and evaluation of asset pricing theories. In response to this, a voluminous literature has ...
T Bollerslev, U Kretschmer, C Pigorsch… - Journal of …, 2009 - Elsevier
We develop an empirically highly accurate discrete-time daily stochastic volatility model that
explicitly distinguishes between the jump and continuous-time components of price
movements using nonparametric realized variation and Bipower variation measures ...
TG Andersen,
T Bollerslev, FX Diebold… - 2005 - emeraldinsight.com
Abstract: A large literature over several decades reveals both extensive concern with the
question of time-varying betas and an emerging consensus that betas are in fact time-
varying, leading to the prominence of the conditional CAPM. Set against that background, ...
TG Andersen,
T Bollerslev… - Journal of International Financial …, 2000 - Elsevier
This paper characterizes the volatility in the Japanese stock market based on a 4-year
sample of 5-min Nikkei 225 returns from 1994 through 1997. The intradaily volatility exhibits
a doubly U-shaped pattern associated with the opening and closing of the separate ...
[CITATION] Modelling the persistence of conditional variances
This paper provides a selective survey of the voluminous literature on tests for market
efficiency. The ideas discussed include standard autocorrelation tests, multi-period
regression tests and volatility tests. The formulation and estimation of models for time- ...
L Forsberg… - Journal of Applied Econometrics, 2002 - Wiley Online Library
Forsberg, L. and Bollerslev, T.(2002), Bridging the gap between the distribution of realized
(ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model. Journal of
Applied Econometrics, 17: 535–548. doi: 10.1002/jae. 685
TG Andersen,
T Bollerslev… - The Journal of Finance, 2001 - Wiley Online Library
Variance-ratio tests are routinely employed to assess the variation in return volatility over
time and across markets. However, such tests are not statistically robust and can be
seriously misleading within a high-frequency context. We develop improved inference ...
T Bollerslev… - Journal of Empirical Finance, 2003 - Elsevier
This paper demonstrates how high-frequency data may be used in more effectively
measuring and modeling the systematic risk (s) in factor pricing models. Based on a 7-year
sample of continuously recorded US equity transactions, we find that simple and easy-to- ...
The field of financial econometrics has had a glamorous run during the life span of the
Journal of Econometrics. This note provides a selective summary of the most important
developments in the field over the past two decades, notably ARCH and GMM, along with ...
T Bollerslev, TH Law… - Journal of Econometrics, 2008 - Elsevier
We test for price discontinuities, or jumps, in a panel of high-frequency intraday stock returns
and an equiweighted index constructed from the same stocks. Using a new test for common
jumps that explicitly utilizes the cross-covariance structure in the returns to identify non- ...
T Bollerslev - CREATES Research Paper, 2008 - papers.ssrn.com
Abstract: The literature on modeling and forecasting time-varying volatility is ripe with
acronyms and abbreviations used to describe the many different parametric models that
have been put forth since the original linear ARCH model introduced in the seminal Nobel ...
TG Andersen,
T Bollerslev… - Journal of Econometrics, 2011 - Elsevier
We extend the analytical results for reduced form realized volatility based forecasting in ABM
(2004) to allow for market microstructure frictions in the observed high-frequency returns.
Our results build on the eigenfunction representation of the general stochastic volatility ...
[CITATION] Handbook of econometrics
T Bollerslev, RF Engle, D Nelson, RF Engle… - Handbook of econometrics, 1994
We selectively survey, unify and extend the literature on realized volatility of financial asset
returns. Rather than focusing exclusively on characterizing the properties of realized
volatility, we progress by examining economically interesting functions of realized volatility ...
T Bollerslev… - The Journal of Finance, 2011 - Wiley Online Library
We show that the compensation for rare events accounts for a large fraction of the average
equity and variance risk premia. Exploiting the special structure of the jump tails and the
pricing thereof, we identify and estimate a new Investor Fears index. The index reveals ...
T Bollerslev… - Review of Economics and Statistics, 2001 - MIT Press
Although it is clear that the volatility of asset returns is serially correlated, there is no general
agreement as to the most appropriate parametric model for characterizing this temporal
dependence. In this paper, we propose a simple way of modeling financial market ...
RF Engle… - Econometric Reviews, 1986 - Taylor & Francis
82 ENGLE AND BOLLERSLEV would depend only on past residuals, not on the full
information set. The form of such dependence hinges on the process of this unobservable
cause. Possibly if it has a unit root, the variance process would also be integrated. Hendry ...
[CITATION] Price volatility, spread variability, and the role of alternative market mechanisms
TG Andersen,
T Bollerslev… - Journal of Applied …, 2010 - Wiley Online Library
Andersen, TG, Bollerslev, T., Frederiksen, P. and Ørregaard Nielsen, M.(2010), Continuous-
time models, realized volatilities, and testable distributional implications for daily stock
returns. Journal of Applied Econometrics, 25: 233–261. doi: 10.1002/jae. 1105
T Bollerslev, I Domowitz… - Journal of Economic Dynamics and …, 1997 - Elsevier
A probabilistic framework for the analysis of screen-based trading activity is presented.
Probability functions are derived for the stationary distributions of the best bid and offer,
conditional on the order flows. By identifying the unobservable order and acceptance ...
[CITATION] ARCH models, RF Engle, D
T Bollerslev - McFadden, Editors Handbook of Econometrics, 1994
T Bollerslev, N Sizova… - Review of Finance, 2012 - rpproxy.iii.com
Abstract Stock market volatility clusters in time, appears fractionally integrated, carries a risk
premium, and exhibits asymmetric leverage effects. At the same time, the volatility risk
premium, defined by the difference between the risk-neutral and objective expectations of ...
Abstract We find that the difference between implied and realized variation, or the variance
risk premium, is able to explain more than fifteen percent of the ex-post time series variation
in quarterly excess returns on the market portfolio over the 1990 to 2005 sample period, ...
Abstract This paper examines some of the characteristics of the foreign exchange market in
the 1920s floating period. Nominal returns appear to exhibit properties consistent with asset
prices on modern more well-organized financial markets; ie they appear to be well ...
TG Andersen,
T Bollerslev… - Manuscript, Duke …, 2006 - legacy.samsi.info
Page 1. Introduction Jump Intensity and Jump Size Overnight Return Variance A
Semiparametric Framework for Modelling and Forecasting Jumps and Volatility in
Speculative Prices Torben G. Andersen1 Tim Bollerslev2 Xin Huang2 ...
[CITATION] Some effects of restricting the electronic order book in an automated trade execution system
T Bollerslev… - The Double Auction Market: Institutions, Theories, and …, 1992
V Todorov… - Journal of Econometrics, 2010 - Elsevier
We provide a new theoretical framework for disentangling and estimating the sensitivity
towards systematic diffusive and jump risks in the context of factor models. Our estimates of
the sensitivities towards systematic risks, or betas, are based on the notion of increasingly ...
L Peng,
W Xiong… - European Financial …, 2007 - Wiley Online Library
This paper analyses the effect of an increase in market-wide uncertainty on information flow and
asset price comovements. We use the daily realised volatility of the 30-year treasury bond futures
to assess macroeconomic shocks that affect market-wide uncertainty. We use the ratio of ...
TG Andersen,
T Bollerslev, FX Diebold… - New York University, …, 1999 - ideas.repec.org
We review and synthesize our recent work on realized volatility in financial markets. This
includes (1) constructing and interpreting realized volatilities for a variety of asset returns ("
understanding"),(2) determining underlying sampling frequencies high enough to produce ...
[CITATION] ARCH modeling in finance
T Bollerslev, RY Chou… - Journal of Econometrics, 1992
TG Andersen… - 1996 - nber.org
This paper characterizes the volatility in the DM-dollar foreign exchange market using an
annual sample of five-minute returns. Our modeling approach explicitly captures the
pronounced intraday activity patterns, the strong macroeconomic announcement effects, ...
We propose a new and flexible nonparametric framework for estimating the jump tails of Itô
semimartingale processes. The approach is based on a relatively simple-to-implement set of
estimating equations associated with the compensator for the jump measure, or its ...
T Bollerslev… - Oxford Bulletin of Economics and …, 1985 - Wiley Online Library
Bollerslev, T. and Hylleberg, S.(1985), A NOTE ON THE RELATION BETWEEN
CONSUMER'S EXPENDITURE AND INCOME IN THE UNITED KINGDOM. Oxford Bulletin of
Economics and Statistics, 47: 153–170. doi: 10.1111/j. 1468-0084.1985. mp47002004. x
RT Baillie… - Global Portfolio Diversification, 1995 - econ.duke.edu
Conventional wisdom, as affirmed by accounts in the media, is that global financial markets
are becoming more integrated. The development of similar financial instruments in different
major markets and the apparent increasing interdependence of the world macroeconomy ...
PF Christoffersen,
A Bera, J Berkowitz… - International Economic …, 1997 - Citeseer
Abstract This paper is intended to address the deficiency by clearly defining what is meant
by a" good" interval forecast, and describing how to test if a given interval forecast deserves
the label" good". One of the motivations of Engle's (1982) classic paper was to form ...
This paper develops mew robust inference procedures for analyzing the intraday return
volatility patterns that constitute a focal point of much market microstructure theory. Our
empirical analysis is motivated by the recent lifting of trading restrictions in the interbank ...
[CITATION] Integrated ARCH and cointegration in variance
T Bollerslev - Unpublished manuscript (Northwestern University, …, 1988
TG Andersen,
T Bollerslev… - Journal of Econometrics, 2011 - Elsevier
Building on realized variance and bipower variation measures constructed from high-
frequency financial prices, we propose a simple reduced form framework for effectively
incorporating intraday data into the modeling of daily return volatility. We decompose the ...
[CITATION] Ch apter 49 arch models
T Bollerslev, RF Engle, DB Nelson, F Engle… - Handbook of econometrics, 1994
TG Andersen,
T Bollerslev, PH Frederiksen… - Journal of Business and …, 2006 - ASA
The article by Hansen and Lunde (henceforth HL) provides an excellent introduction to,
overview of, and synthesis of the recent literature on estimating financial return variability
from high-frequency data in the presence of market microstructure noise in the observed ...
Abstract: Building on realized variance and bi-power variation measures constructed from
high-frequency financial prices, we propose a simple reduced form framework for effectively
incorporating intraday data into the modeling of daily return volatility. We decompose the ...
[CITATION] Parametric and Nonparametric Volatility Measurement. LP Hansen and Y. Ait-Sahalia (eds.), Handbook of Financial Econometrics
T Andersen, T Bollerslev… - 2002 - Amsterdam: North-Holland, …
[CITATION] Risk, jumps
T Bollerslev, TH Law… - 2007 - and diversification. Working paper, …
[CITATION] Intraday Periodicity and Volatility Persistence in
TG Andersen… - 1997
Abstract: We examine the relationship between volatility and past and future returns in high-
frequency equity market data. Consistent with a prolonged leverage effect, we find the
correlations between absolute high-frequency returns and current and past high- ...
[CITATION] Deutsche Mark-Dollar Volatility: Intraday
TG Andersen… - 1998
After a long battle with cancer, Dan Nelson passed away on May 4, 1995, at the age of 36.
With his untimely death, time series econometrics and asset pricing finance have lost a great
scholar, and many of us have lost a great friend and colleague. Dan will be sorely missed. ...
R Baillie… - Review of Economic Studies, 1989 - en.scientificcommons.org
Abstract Four foreign exchange spot rate series, recorded on an hourly basis for a six-month
period in 1986, are examined. A seasonal GARCH model is developed to describe the time-
dependent volatility apparent in the percentage nominal return of each currency. Hourly ...
[CITATION] «Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Approach»
B Tim - Review of Economics and Statistics, 1990
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