Ekonometria stosowana wolfe pdf printer

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6 6 Michaela Chocholata a good information the prices will rise and in case of bad information the prices will decline. The MDH also explains the positive relationship between the price volatility and the trading volume. Another approach to capture the changes in variance is the Engle s (1982) ARCH (Autoregressive Conditional Heteroscedasticity) model, which was further generalized by
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