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Business Cycle Asymmetry in China: Evidence from Friedman’s Plucking Model
business cycle plucking model asymmetry regime switching structural break
2011/4/1
Friedman’s plucking model of business fluctuations suggests that output cannot exceed an upper limit, or ceiling level, but it is occasionally plucked downward, with depth and steepness, due to recess...
Hedging Effectiveness under Conditions of Asymmetry
Hedging Performance Asymmetry Lower Partial Moments Value at Risk Conditional Value at Risk
2011/3/31
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crud...