G - Financial Economics - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T08:25:54+00:00Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence
https://www.bankofcanada.ca/2006/10/working-paper-2006-38/
The author develops a strategy for utilizing higher moments and conditioning information efficiently, and hence improves on the variance bounds computed by Hansen and Jagannathan (1991, the HJ bound) and Gallant, Hansen, and Tauchen (1990, the GHT bound).2006-10-03T17:00:49+00:00enConditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence2006-10-03Financial marketsMarket structure and pricingWorking Paper 2006-38 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-38.pdfConditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and EvidenceFousseni Chabi-YoOctober 2006CC6C61GG1G12G13Credit in a Tiered Payments System
https://www.bankofcanada.ca/2006/10/working-paper-2006-36/
Payments systems are typically characterized by some degree of tiering, with upstream firms (clearing agents) providing settlement accounts to downstream institutions that wish to clear and settle payments indirectly in these systems (indirect clearers).2006-10-01T16:47:09+00:00enCredit in a Tiered Payments System2006-10-01Financial institutionsFinancial servicesMarket structure and pricingPayment clearing and settlement systemsWorking Paper 2006-36 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-36.pdfCredit in a Tiered Payments SystemAlexandra LaiNikil ChandeSean O'ConnorOctober 2006GG2G21LL1L12L13L2L22