G1 - General Financial Markets - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T06:22:43+00:00Regime Switches in the Risk-Return Trade-Off
https://www.bankofcanada.ca/2013/12/working-paper-2013-51/
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 relation through a Markov-switching specification.2013-12-24T11:03:53+00:00enRegime Switches in the Risk-Return Trade-Off2013-12-24Econometric and statistical methodsFinancial marketsWorking Paper 2013-51https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-51.pdfRegime Switches in the Risk-Return Trade-OffEric GhyselsPierre GuérinMassimiliano MarcellinoDecember 2013GG1G10G12CoMargin
https://www.bankofcanada.ca/2013/12/working-paper-2013-47/
We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants.2013-12-20T10:09:24+00:00enCoMargin2013-12-20Econometric and statistical methodsFinancial institutionsFinancial marketsFinancial stabilityWorking Paper 2013-47https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-47.pdfCoMarginJorge Cruz LopezJeffrey H. HarrisChristophe HurlinChristophe PérignonDecember 2013GG1G13