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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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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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This paper proposes new measures of the integrated variance, measures which use high-frequency bid-ask spreads and quoted depths. The traditional approach assumes that th[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The co[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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In this paper, the authors propose a measure of underlying inflation for Canada obtained from estimating a monthly factor model on individual components of the CPI. This [...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator insp[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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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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8.
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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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9.
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This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization. This new estimator i[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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We explore the macroeconomic effects of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a time-varying paramet[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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