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1.
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This paper describes a new test for evaluating conditional density functions that remains valid when the data are time-dependent and that is therefore applicable to forec[...]
2001 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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We propose a new test for a multivariate parametric conditional distribution of a vector of variables yt given a conditional vector xt. The proposed test is shown to have[...]
2009 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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This paper evaluates linear and non-linear forecast-combination methods. Among the non-linear methods, we propose a nonparametric kernel-regression weighting approach tha[...]
2001 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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This paper examines empirically the impact of financial stress on the transmission of monetary policy shocks in Canada. The model used is a threshold vector autoregressio[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock mar[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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6.
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The authors estimate a small monthly macroeconometric model (BEAM, for bonds, equity, and money) of the Canadian economy built around three cointegrating relationships li[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the fina[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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8.
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Diffusion functions in term-structure models are measures of uncertainty about future price movements and are directly related to the risk associated with holding financi[...]
1999 | Text | Staff Working Paper - Document de travail du personnel |
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9.
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The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: C[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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The author proposes a new test for financial contagion based on a non-parametric measure of the cross-market correlation. The test does not depend on the assumption that [...]
2009 | Text | Staff Working Paper - Document de travail du personnel |
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