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1.
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We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbanc[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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Replication code for peer-reviewed article published in The Journal of Finance. Paper published online December 23, 2024.
2025 | Dataset | Reproducibility Package - Ensemble de données pour la reproductibilité des résultats de recherche |
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3.
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The data and programs replicate tables and figures from "The life cycle of trading activity and liquidity of Government of Canada bonds: Evidence from cash, repo and secu[...]
2021 | Dataset | Reproducibility Package - Ensemble de données pour la reproductibilité des résultats de recherche |
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4.
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We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is great[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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