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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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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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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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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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7.
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Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated w[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt-management strategy provides a wide variety of useful informa[...]
2007 | 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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10.
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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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