A robust methodology for modeling and forecasting the …
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Websix months (^p t 6m) before.According to this speci cation, the observed price at time tcan be written in the following way: p^ t= ^c+ ^(d) p^ t 1 + ^(w ) (6p^ t 1w+ ^(m) p^ t 1m+ ^(3m p^ t 3m+ ^ m) p^ t 6m; (5) where, (^(d ); (3^ w ); ^(m; ^ m) and ^(6m respectively represent the sensitivities of the ob- served prices at one da,y one week, one month, three months and …
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