C1 - Econometric and Statistical Methods and Methodology: General
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Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices
The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns. -
Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns
Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies. -
Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events
The authors examine how the use of extreme value theory yields collateral requirements that are robust to extreme fluctuations in the market price of the asset used as collateral. -
Forecasting Canadian Time Series with the New Keynesian Model
The authors document the out-of-sample forecasting accuracy of the New Keynesian model for Canada.