We propose an exact test for breaks in covariance in multivariate regressions. The test is based on the LR criterion from Anderson ([Anderson, T.W. (1971), The Statistica[...]

We introduce quasi-likelihood ratio tests for one sided multivariate hypotheses to evaluate the null that a parsimonious model performs equally well as a small number of [...]

This paper presents a new test for evaluating conditional density functions for time-series data, thereby being applicable to forecasting problems. We show that the test [...]

We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather tha[...]

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[...]

We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory requirement proposals in a holistic way. Following[...]

In the aftermath of the financial crisis, there is interest in reforming bank regulation such that capital requirements are more closely linked to a bank's contribution t[...]

A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast an[...]

Nous construisons un cadre d'analyse formel pour simuler l'impact de divers chocs économiques sur le ratio du service de la dette des ménages, en utilisant des données d'[...]

A distinguishing feature of macro stress testing exercises is the use of macroeconomic models in scenario design and implementation. It is widely agreed that scenarios sh[...]