We propose a portfolio-balance model of the yield curve in which inflation is determined through an interest rate rule that satisfies the Taylor principle. Because arbitr[...]

We study whether climate transition risk is reflected in the credit default swap (CDS) spreads of European firms. Using information on the vulnerability of a firm’s value[...]

We study the effect of a “leaning against the wind” monetary policy on asset price bubbles in a learning-to-forecast experiment, where prices are driven by the expectatio[...]

Extreme movements in financial markets are not always reflected equally in individual stocks. Identifying which firms are unable to absorb shocks is a challenge. This pap[...]

This paper reviews the recent development and new findings of the literature on learning-to-forecast experiments (LtFEs). In general, the stylized finding in the typical [...]

For each component in the diffusion matrix of a d-dimensional diffusion process, we propose a test for the parametric specification of this component. Overall, d(d−1)/2 t[...]

We estimate a continuous-time model for the stock market index where the stochastic volatility and crash probability depend on the realized spot variance and the stock ma[...]

We estimate an endowment-based asset pricing model in which agents have heterogeneous and time-varying beliefs about the future price on a range of asset classes. This gi[...]

This paper documents stylized facts about the life cycle of trading activity and trading cost (i.e., market liquidity) of Government of Canada (GoC) bonds. Using a unique[...]

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[...]