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We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the weak form Efficient Market Hypothesis). We do...
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Firstly, we use the Multi-Scale LPPLS Confidence Indicator approach to detectboth positive and negative bubbles at … forecast gold returns and its volatility, usinga method involving block means of residuals obtained from the popular … that, our bubbles indicators,particularly when both positive and negative bubbles are considered simultaneously …
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We enhance the precision of predicting daily stock market price volatility using the maximum overlapping discrete … based on multiple regression, tolerance, and variance inflation factor tests, and the oil price (Loil) and repo rate (Repo …
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