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10/31/94 12/31/94 2/28/95 4/30/95 6/30/95 8/31/95 10/31/95 12/31/95 Mexico 2/29/96 4/30/96 6/30/96 8/31/96 Argentina 10/31/96 12/31/96 2/28/97 4/30/97 Covarianc 6/30/97 8/31/97 10/31/97 12/31/97 2/28/98 4/30/98 6/30/98 8/31/98 10/31/98 12/31/98 6< Iljxuh 7= Fulvlv zlqgrz ghqhg dv odujh vkliwv lq vhfrqg prphqwv1 0 0.001 0.002 0.0002 0.0004 0.0006 0.0008 0.0012 0.0014 0.0016 0.0018 12/31/93 2/28/94 4/30/94 6/30/94 8/31/94 10/31/94 12/31/94 2/28/95 4/30/95 6/30/95 Mexico 8/31/95 10/31/95 12/31/95 2/29/96 4/30/96 Argentina 6/30/96 8/31/96 10/31/96 12/31/96 2/28/97 Covariance 4/30/97 6/30/97 8/31/97 Series1 10/31/97 12/31/97 2/28/98 4/30/98 6/30/98 8/31/98 10/31/98 12/31/98 0 1 0.2 0.4 0.6 0.8 1.2 Simulation 0.004 Bootstrap of 2000 realizations. 0.0035 Average deviation of point estimate with respect to true value α runs from -.9 to .9 0.003 β runs from -.9 to .9 0.0025 0.002 Left top panel: Change in one of the variances by 2 0.0015 Bottom panels: There is no change in the variances 0.001 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