Mark J. Jensen : Citation Profile


Are you Mark J. Jensen?

Federal Reserve Bank of Atlanta

10

H index

10

i10 index

357

Citations

RESEARCH PRODUCTION:

20

Articles

30

Papers

RESEARCH ACTIVITY:

   23 years (1993 - 2016). See details.
   Cites by year: 15
   Journals where Mark J. Jensen has often published
   Relations with other researchers
   Recent citing documents: 30.    Total self citations: 21 (5.56 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pje71
   Updated: 2017-11-18    RAS profile: 2017-04-03    
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Relations with other researchers


Works with:

Maheu, John (11)

Barnett, William (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Mark J. Jensen.

Is cited by:

Barnett, William (54)

Serletis, Apostolos (22)

Shintani, Mototsugu (18)

LINTON, OLIVER (13)

Galeano, Pedro (8)

Panagiotidis, Theodore (8)

Chauvet, Marcelle (8)

Nesmith, Travis (7)

Canarella, Giorgio (6)

GUPTA, RANGAN (6)

Miller, Stephen (6)

Cites to:

Diebold, Francis (12)

Maheu, John (12)

Barnett, William (10)

Sowell, Fallaw (10)

Serletis, Apostolos (9)

Rossi, Peter (8)

Rudebusch, Glenn (8)

Shephard, Neil (7)

Granger, Clive (6)

Gallant, A. (6)

Nelson, Charles (6)

Main data


Where Mark J. Jensen has published?


Journals with more than one article published# docs
Journal of Econometrics4
Studies in Nonlinear Dynamics & Econometrics3

Working Papers Series with more than one paper published# docs
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta6
Working Paper Series / The Rimini Centre for Economic Analysis4
MPRA Paper / University Library of Munich, Germany3
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS / University of Kansas, Department of Economics2

Recent works citing Mark J. Jensen (2017 and 2016)


YearTitle of citing document
2016An empirical analysis of the relationships between crude oil, gold and stock markets. (2016). Rojas, Omar ; Coronado, Semei ; Jim, Rebeca . In: Papers. RePEc:arx:papers:1510.07599.

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2017Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR). (2017). Rossini, Luca ; Billio, Monica ; Casarin, Roberto . In: Papers. RePEc:arx:papers:1608.02740.

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2017Changes in persistence, spurious regressions and the Fisher hypothesis. (2017). Ventosa-Santaulària, Daniel ; Antonio, Noriega ; Daniel, Ventosa-Santaularia ; Robinson, Kruse . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:3:p:28:n:1.

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2017Bayesian semiparametric multivariate stochastic volatility with an application to international volatility co-movements. (2017). Wilfling, Bernd ; Trede, Mark ; Zaharieva, Martina Danielova . In: CQE Working Papers. RePEc:cqe:wpaper:6217.

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2016A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection. (2016). Galeano, Pedro ; Virbickait, Audron ; Ausin, Concepcion M. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:814-829.

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2018Dual-semiparametric regression using weighted Dirichlet process mixture. (2018). Lee, Ki-Ahm ; Kim, Inyoung ; Sun, Peng . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:117:y:2018:i:c:p:162-181.

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2016Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis. (2016). Charfeddine, Lanouar. In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:354-374.

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2017Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility. (2017). Dimitrakopoulos, Stefanos . In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:10-14.

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2017The semiparametric asymmetric stochastic volatility model with time-varying parameters: The case of US inflation. (2017). Dimitrakopoulos, Stefanos . In: Economics Letters. RePEc:eee:ecolet:v:155:y:2017:i:c:p:14-18.

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2016Bayesian semiparametric modeling of realized covariance matrices. (2016). Maheu, John ; Jin, Xin . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:19-39.

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2017On efficient Bayesian inference for models with stochastic volatility. (2017). Griffin, Jim ; Sakaria, D K. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:23-33.

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2016Inflation convergence in the EMU. (2016). Karavias, Yiannis ; Karanasos, M ; Arakelian, V ; Kartsaklas, A ; Koutroumpis, P. In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pb:p:241-253.

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2017Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. (2017). Zu, Yang ; Boswijk, Peter H. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:53-75.

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2016Dynamic structure of the spot price of crude oil: does time aggregation matter?. (2016). Barnett, William ; Aghababa, Hajar . In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:227-237.

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2017Infinite hidden markov switching VARs with application to macroeconomic forecast. (2017). Hou, Chenghan. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1025-1043.

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2017Threshold stochastic volatility: Properties and forecasting. (2017). Veiga, Helena ; Ruiz, Esther ; Mao, Xiuping . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1105-1123.

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2016Partial chaos suppression in a fractional order macroeconomic model. (2016). David, S A ; Balthazar, J M ; Quintino, D D. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:122:y:2016:i:c:p:55-68.

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2017Mutual information and persistence in the stochastic volatility of market returns: An emergent market example. (2017). Dima, Tefana Maria . In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:36-59.

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2016Dynamic Structure of the Spot Price of Crude Oil: Does Time Aggregation Matter?. (2016). Barnett, William ; Aghababa, Hajar . In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201602.

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2016A Comparative Study of the Performance of Estimating Long-Memory Parameter Using Wavelet-Based Entropies. (2016). Boubaker, Heni . In: Computational Economics. RePEc:kap:compec:v:48:y:2016:i:4:d:10.1007_s10614-015-9541-4.

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2016Stationarity and Long Range Dependence of Carbon Dioxide Emissions: Evidence for Disaggregated Data. (2016). Pérez de Gracia, Fernando ; Gil-Alana, Luis ; Barros, Carlos Pestana . In: Environmental & Resource Economics. RePEc:kap:enreec:v:63:y:2016:i:1:d:10.1007_s10640-014-9835-3.

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2016Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2016). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2016-8.

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2016Dynamic Structure of the Spot Price of Crude Oil: Does Time Aggregation Matter?. (2016). Barnett, William ; Aghababa, Hajar . In: MPRA Paper. RePEc:pra:mprapa:73240.

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2016Nonparametric Dynamic Conditional Beta. (2016). Shamsi, Azam ; Maheu, John. In: MPRA Paper. RePEc:pra:mprapa:73764.

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2017Modeling the Asymmetric Impact of Defense Spending on Economic Growth: An Evidence from Nonlinear ARDL and Multipliers. (2017). Ahad, Muhammad ; Dar, Adeel Ahmad . In: MPRA Paper. RePEc:pra:mprapa:80085.

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2017User Cost of Credit Card Services under Risk with Intertemporal Nonseparability. (2017). Barnett, William ; Liu, Jinan . In: MPRA Paper. RePEc:pra:mprapa:81461.

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2016Time-Varying Persistence of Inflation: Evidence from a Wavelet-Based Approach. (2016). Miller, Stephen ; GUPTA, RANGAN ; Canarella, Giorgio ; Boubaker, Heni . In: Working Papers. RePEc:pre:wpaper:201647.

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2016Portmanteau Tests for Linearity of Stationary Time Series. (2016). Vavra, Marian ; Psaradakis, Zacharias. In: Working and Discussion Papers. RePEc:svk:wpaper:1037.

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2016Time-Varying Persistence of Inflation: Evidence from a Wavelet-based Approach. (2016). Miller, Stephen ; GUPTA, RANGAN ; Canarella, Giorgio ; Boubaker, Heni. In: Working papers. RePEc:uct:uconnp:2016-09.

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2016.

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Works by Mark J. Jensen:


YearTitleTypeCited
2004Semiparametric Bayesian Inference of Long-Memory Stochastic Volatility Models In: Journal of Time Series Analysis.
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article12
2016Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility In: Studies in Nonlinear Dynamics & Econometrics.
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article0
2015Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility.(2015) In: FRB Atlanta Working Paper.
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This paper has another version. Agregated cites: 0
paper
1999An Approximate Wavelet MLE of Short- and Long-Memory Parameters In: Studies in Nonlinear Dynamics & Econometrics.
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article8
1999An Approximate Wavelet MLE of Short- and Long-Memory Parameters.(1999) In: Computing in Economics and Finance 1999.
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paper
1999An Approximate Wavelet MLE of Short and Long Memory Parameters.(1999) In: Econometrics.
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paper
2003Long Memory Inflationary Dynamics: The Case of Brazil In: Studies in Nonlinear Dynamics & Econometrics.
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article2
1999RESEARCH IN ECONOMETRIC THEORY: QUANTITATIVE AND QUALITATIVE PRODUCTIVITY RANKINGS In: Econometric Theory.
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article19
1998Research in Econometric Theory: Quantitative and Qualitative Productivity Rankings.(1998) In: Econometrics.
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This paper has another version. Agregated cites: 19
paper
1997CAPM RISK ADJUSTMENT FOR EXACT AGGREGATION OVER FINANCIAL ASSETS In: Macroeconomic Dynamics.
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article25
2000An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets In: Journal of Economic Dynamics and Control.
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article23
1997An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets.(1997) In: Econometrics.
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This paper has another version. Agregated cites: 23
paper
2010Bayesian semiparametric stochastic volatility modeling In: Journal of Econometrics.
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article33
2008Bayesian semiparametric stochastic volatility modeling.(2008) In: FRB Atlanta Working Paper.
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2009Bayesian Semiparametric Stochastic Volatility Modeling.(2009) In: Working Paper Series.
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This paper has another version. Agregated cites: 33
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2008Bayesian semiparametric stochastic volatility modeling.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 33
paper
2013Bayesian semiparametric multivariate GARCH modeling In: Journal of Econometrics.
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article10
2012Bayesian semiparametric multivariate GARCH modeling.(2012) In: FRB Atlanta Working Paper.
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This paper has another version. Agregated cites: 10
paper
2012Bayesian Semiparametric Multivariate GARCH Modeling.(2012) In: Working Paper Series.
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This paper has another version. Agregated cites: 10
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2012Bayesian semiparametric multivariate GARCH modeling.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 10
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2014Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture In: Journal of Econometrics.
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article6
2012Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture.(2012) In: FRB Atlanta Working Paper.
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This paper has another version. Agregated cites: 6
paper
2012Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Paper Series.
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This paper has another version. Agregated cites: 6
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2012Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 6
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1997A single-blind controlled competition among tests for nonlinearity and chaos In: Journal of Econometrics.
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article103
2012A SINGLE-BLIND CONTROLLED COMPETITION AMONG TESTS FOR NONLINEARITY AND CHAOS*.(2012) In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
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1996A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos.(1996) In: Econometrics.
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2016A comment on De Grauwes, “The legacy of the Eurozone crisis and how to overcome it” In: Journal of Empirical Finance.
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article0
1995Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size In: Journal of Economic Behavior & Organization.
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article36
2005Long-run neutrality in a fractionally integrated model In: Journal of Macroeconomics.
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article10
2006Do long swings in the business cycle lead to strong persistence in output? In: Journal of Monetary Economics.
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article5
2006The long-run Fisher effect: can it be tested? In: FRB Atlanta Working Paper.
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2009The Long-Run Fisher Effect: Can It Be Tested?.(2009) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 4
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2014Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis In: FRB Atlanta Working Paper.
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2013Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2013) In: MPRA Paper.
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2014Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2014) In: Working Paper Series.
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1997MATLAB as an Econometric Programming Environment. In: Journal of Applied Econometrics.
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article3
2012The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
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paper0
1996The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets.(1996) In: Econometrics.
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This paper has another version. Agregated cites: 0
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1997A Homotopy Approach to Solving Nonlinear Rational Expectation Problems. In: Computational Economics.
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article1
1995A Homotopy Approach to Solving Nonlinear Rational Expectation Problems.(1995) In: Computational Economics.
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This paper has another version. Agregated cites: 1
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1995A Monte Carlo study on two methods of calculating the MLEs covariance matrix in a seemingly unrelated nonlinear regression In: MPRA Paper.
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paper0
1999Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter In: MPRA Paper.
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1997Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter.(1997) In: Econometrics.
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1997Quality of life in central cities and suburbs In: The Annals of Regional Science.
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1997Revisiting the flexibility and regularity properties of the asymptotically ideal production model In: Econometric Reviews.
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article3
1994Wavelet Analysis of Fractionally Integrated Processes In: Econometrics.
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paper1
1995OLS Estimate of Fractional Differencing Parameter Using Wavelets Derived from Smoothing Kernels In: Econometrics.
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1993The Tracking Ability of the Divisia Monetary Aggregate Under Risk In: Macroeconomics.
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1998Long-Run Neutrality in a Long-Memory Model In: Macroeconomics.
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