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1.
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Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed fr[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both [...]
2009 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or inflation swaps are unavail[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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We measure uncertainty surrounding the central bank’s future policy rates using implied volatility computed from interest rate option prices and realized volatility compu[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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This paper provides a novel methodology for estimating option pricing models based on risk-neutral moments. We synthesize the distribution extracted from a panel of optio[...]
2018 | Dataset | Reproducibility Package - Ensemble de données pour la reproductibilité des résultats de recherche |
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6.
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Expected returns vary when investors face time-varying investment opportunities. Long-run risk models (Bansal and Yaron 2004) and no-arbitrage affine models (Duffie, Pan,[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional vola[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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8.
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We introduce generalized autoregressive positive-valued (GARP) processes, a class of autoregressive and moving-average processes that extends the class of existing autore[...]
2023 | Dataset | Reproducibility Package - Ensemble de données pour la reproductibilité des résultats de recherche |
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9.
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Supplemental materials for peer-reviewed article published in Studies in Nonlinear Dynamics & Econometrics. Paper published online January 23, 2020.
2021 | Dataset | Reproducibility Package - Ensemble de données pour la reproductibilité des résultats de recherche |
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10.
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This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness model[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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