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Igor Martins1, Hedibert Freitas Lopes1
1Insper Institute of Education and Research, Rua Quatá 300, São Paulo 04546-042, Brazil.
本研究引入了一种灵活的随机波动模型,可以动态调整斜率,防止过度参数化. 结果显示,动态偏差解释了利率周期,但不是货币携带崩,这源于波动性激增.
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