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Supplemental material for peer-reviewed article published in Quantitative Economics.
2023 | Dataset | Reproducibility Package - Ensemble de données pour la reproductibilité des résultats de recherche |
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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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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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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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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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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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The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns. Their interest lies in the fact that the dynam[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
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The authors document the out-of-sample forecasting accuracy of the New Keynesian model for Canada. They estimate their variant of the model on a series of rolling subsamp[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
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A new consistent test is proposed for the parametric specification of the diffusion function in a diffusion process without any restrictions on the functional form of the[...]
2005 | Text | Staff Working Paper - Document de travail du personnel |
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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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