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A Bayesian Approach to Modeling Time-Varying Cointegration and Cointegrating Rank. (2018). Tsiaplias, Sarantis ; Chua, Chew.
In: Journal of Business & Economic Statistics.
RePEc:taf:jnlbes:v:36:y:2018:i:2:p:267-277.

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  1. Measuring sovereign bond fragmentation in the Eurozone. (2023). Iacopini, Matteo ; Costola, Michele.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005323.

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  2. The dynamic interrelations of oil-equity implied volatility indexes under low and high volatility-of-volatility risk. (2022). Li, Leon.
    In: Energy Economics.
    RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321006009.

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  3. On the “mementum” of meme stocks. (2021). Santagiustina, Carlo ; Iacopini, Matteo ; Costola, Michele.
    In: Economics Letters.
    RePEc:eee:ecolet:v:207:y:2021:i:c:s0165176521002986.

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  4. On the mementum of Meme Stocks. (2021). , Carlo ; Iacopini, Matteo ; Costola, Michele.
    In: Papers.
    RePEc:arx:papers:2106.03691.

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  5. Sparse time-varying parameter VECMs with an application to modeling electricity prices. (2020). Pfarrhofer, Michael ; Hauzenberger, Niko ; Rossini, Luca.
    In: Papers.
    RePEc:arx:papers:2011.04577.

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  6. Time-varying cointegration and the UK great ratios. (2019). Price, Simon ; Petrova, Katerina ; Millard, Stephen ; Kapetanios, George.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0789.

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