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1.
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The good forecasting performance of factor models has been well documented in the literature. While many studies focus on a very limited set of variables (typically GDP a[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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Affine models describe the stylized time-series properties of the term structure of interest rates in a reasonable manner, they generalize relatively easily to higher dim[...]
2001 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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This paper derives analytical gradients for a broad class of regime-switching models with Markovian state-transition probabilities. Such models are usually estimated by m[...]
1995 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrag[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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Using identification-robust methods, the authors estimate and evaluate for Canada and the United States various classes of inflation equations based on generalized struct[...]
2009 | Text | Staff Working Paper - Document de travail du personnel |
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6.
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Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies. The authors provide a statistical met[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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Work on testing for bubbles has caused much debate, much of which has focussed on methodology. Monte Carlo simulations reported in Evans (1991) showed that standard tests[...]
1996 | Text | Staff Working Paper - Document de travail du personnel |
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This paper finds a strong empirical link between domestic banking sector competitiveness and de facto international integration. De-facto international integration is mea[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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9.
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In many industries, firms usually have two choices when expanding into new markets: They can either build a new plant (greenfield entry) or they can acquire an existing i[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate forecasts outperform those produced by a random-walk[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
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