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1.
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The data and programs replicate tables and figures from "The life cycle of trading activity and liquidity of Government of Canada bonds: Evidence from cash, repo and secu[...]
2021 | Dataset | Reproducibility Package - Ensemble de données pour la reproductibilité des résultats de recherche |
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his paper presents an equilibrium bond-pricing model that jointly explains the upward-sloping nominal and real yield curves and the violation of the expectations hypothes[...]
2020 | Dataset | Reproducibility Package - Ensemble de données pour la reproductibilité des résultats de recherche |
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3.
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We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask s[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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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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5.
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In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the aut[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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6.
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Existing studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as manifested in macroeconomic news announcements and events. [...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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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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8.
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Commodity-equity and cross-commodity return co-movements rose dramatically after the 2008 financial crisis. This development took place following what has been dubbed the[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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9.
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This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness model[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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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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