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1.
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The authors develop and estimate an equilibrium-based model of the Canadian term structure of interest rates. The proposed model incorporates a vector-autoregression desc[...]
2005 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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This paper proposes a class of linear signed rank statistics to test for a random walk with unknown drift in the presence of arbitrary forms of conditional heteroscedasti[...]
2001 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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The author proposes a class of exact tests of the null hypothesis of exchangeable forecast errors and, hence, of the hypothesis of no difference in the unconditional accu[...]
2004 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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This paper empirically investigates the possibility that the effects of shocks to output depend on the level of inflation. The analysis extends Elwood's (1998) framework [...]
2001 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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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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6.
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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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