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In this paper, we develop a bivariate two factor-two country GARCH model of stock returns in order to investigate whether exchange rate fluctuations have a significant impact on the conditional mean, variance, and correlation of industry stock returns. Weekly data for seven industries in five...
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This papers develops a dynamic factor models with regime switching to account for the decreasing volatility of the U.S. economy observed since the mid-1980s. Apart from the Markov switching capturing the cyclical fluctuations, an additional type of regime switching is introduced to allow...
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We develop a new methodology to identify high-end variety exporters in French firm-level data. We show that they do not export to many more countries, but they export to more distant ones. This comes with a greater geographic diversification of their aggregate exports. These facts are explained...
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