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1.
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Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies. The authors provide a statistical met[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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Several studies have put forward that hedge fund returns exhibit a nonlinear relationship with equity market returns, captured either through constructed portfolios of tr[...]
2011 | Dataset | Reproducibility Package - Ensemble de données pour la reproductibilité des résultats de recherche |
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3.
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The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate forecasts outperform those produced by a random-walk[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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This paper presents a multifactor asset pricing model for currency, bond, and stock returns for ten emerging markets to investigate the effect of the exchange rate regime[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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We construct a multi-country affine term structure model that contains unspanned macroeconomic and foreign exchange risks. The canonical version of the model is derived a[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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6.
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McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle. We estima[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization. This new estimator i[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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8.
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The data and programs replicate tables and figures from "A macroeconomic model of an epidemic with silent transmission and endogenous self-isolation", by Diez de los Rios[...]
2022 | Dataset | Reproducibility Package - Ensemble de données pour la reproductibilité des résultats de recherche |
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9.
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Nowadays researchers can choose the sampling frequency of exchange rates and interest rates. If the number of observations per contract period is large relative to the sa[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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