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1.
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This paper documents time-variation in the relation between oil price and US equity returns based on both reduced-form and structural analyses. Our reduced-form analysis [...]
2017 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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2.
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This article introduces a new regression model-Markov-switching mixed data sampling (MS-MIDAS)- that incorporates regime changes in the parameters of the mixed data sampl[...]
2013 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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3.
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This paper introduces regime switching parameters to the Mixed-Frequency VAR model. We begin by discussing estimation and inference for Markov-switching Mixed-Frequency V[...]
2015 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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4.
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This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return re[...]
2014 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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5.
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This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return re[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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