An omnibus noise filter
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References listed on IDEAS
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More about this item
KeywordsSignal–noise decomposition; Long memory; Structural breaks; Flexible least squares; Exchange rates volatility; C32;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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