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Determining the number of factors in a multivariate error correction–volatility factor model

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Figure

Table 3: Summary statistics of the log-returns
Figure 1: Plots of daily log-returns (%) of (a)CSCO, (b)DELL, (c)INTC, (d)MSFT and (e)ORCL.
Figure 2: Plot of M(m, k) against the cointegration rank m and the lag order k

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