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We develop conditional alpha performance measures that are consistent with conditional mean-variance analysis and the magnitude and sign of the implied true conditional time-varying alphas. The sequence of conditional alphas and betas is estimable from surprisingly simple unconditional...
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This work endeavors to study the long-range dependence of the international diamond market. The results from the modified R/S statistic suggest that diamond returns do not have long memory, while strong evidence is found for long memory in diamond volatilities.
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