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On importance sampling for state space models

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Finite-sample properties of GARCH models in the presence of time-varying unconditional variance : a simulation story

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The superiority of the EGARCH-Odd Exponentiated Skew-t model in predicting financial returns volatility

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Hawkes-based models for high frequency financial data

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Testing stationarity with unobserved-components models

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Hidden cointegration : some Monte Carlo evidence

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