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On the Inherent Nonlinearity of Frequency Dependent Time Series Relationships,in sign and/or intensity for high frequency fluctuations than for low frequency fluctuations. For example, the Permanent Income Hypothesis is essentially synonymous with the proposition that the consumption-income relationship is strong at low frequencies and weak at high frequencies. And the growthdepreciate 发表于 2025-3-22 19:48:29
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Asymmetric Nonlinear Smooth Transition Garch Models,symmetry, first noted by Black in 1976, is characterized by the market’s asymmetric reaction to news, in the sense that stock market returns become more volatile after a negative price shock, than they do after a positive shock of the same absolute size. The first empirical models which explicitly a