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Measuring Conditional Dependence of Polish Financial Returns

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  • Ryszard Doman

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  • Ryszard Doman, 2006. "Measuring Conditional Dependence of Polish Financial Returns," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 7, pages 59-68.
  • Handle: RePEc:cpn:umkdem:v:7:y:2006:p:59-68
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    File URL: http://www.dem.umk.pl/dem/archiwa/v7/06_Ryszard_Doman_new.pdf
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    References listed on IDEAS

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    1. Sylvia Kaufmann, 2000. "Measuring business cycles with a dynamic Markov switching factor model: an assessment using Bayesian simulation methods," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 39-65.
    2. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
    3. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333.
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    Cited by:

    1. Katarzyna BieĊ„-Barkowska, 2012. "A Bivariate Copula-based Model for a Mixed Binary-Continuous Distribution: A Time Series Approach," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 4(2), pages 117-142, June.

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