Asset pricing - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T10:48:45+00:00Booms and Busts in House Prices Explained by Constraints in Housing Supply
https://www.bankofcanada.ca/2013/06/working-paper-2013-18/
We study the importance of supply constraints in explaining the heterogeneity in house price cycles across geographies in the United States.2013-06-11T08:45:31+00:00enBooms and Busts in House Prices Explained by Constraints in Housing Supply2013-06-11Asset pricingEconomic modelsWorking Paper 2013-18https://www.bankofcanada.ca/wp-content/uploads/2013/06/wp2013-18.pdfBooms and Busts in House Prices Explained by Constraints in Housing SupplNarayan BulusuJefferson DuarteCarles Vergara-AlertJune 2013RR3R31Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances
https://www.bankofcanada.ca/2013/05/working-paper-2013-16/
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances.2013-05-29T13:00:05+00:00enMultivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances2013-05-29Asset pricingEconometric and statistical methodsFinancial marketsWorking Paper 2013-16https://www.bankofcanada.ca/wp-content/uploads/2013/05/wp2013-16.pdfMultivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying CovariancesSermin GungorRichard LugerMay 2013CC1C12C15C3C33GG1G11G12Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics
https://www.bankofcanada.ca/2013/04/working-paper-2013-12/
This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of risk-neutral and realized volatilities.2013-04-23T10:55:41+00:00enJump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics2013-04-23Asset pricingEconomic modelsWorking Paper 2013-12https://www.bankofcanada.ca/wp-content/uploads/2013/04/wp2013-12.pdfJump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility DynamicsJianjian JinApril 2013GG1G12G17A New Linear Estimator for Gaussian Dynamic Term Structure Models
https://www.bankofcanada.ca/2013/04/working-paper-2013-10/
This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization.2013-04-22T13:58:06+00:00enA New Linear Estimator for Gaussian Dynamic Term Structure Models2013-04-22Asset pricingEconometric and statistical methodsInterest ratesWorking Paper 2013-10https://www.bankofcanada.ca/wp-content/uploads/2013/04/wp2013-10.pdfA New Linear Estimator for Gaussian Dynamic Term Structure ModelsAntonio Diez de los RiosApril 2013CC1C13EE4E43GG1G12An Equilibrium Analysis of the Rise in House Prices and Mortgage Debt
https://www.bankofcanada.ca/2013/04/working-paper-2013-9/
This paper examines the contributions of population aging, mortgage innovation and historically low interest rates to the sharp rise in U.S. house prices and mortgage debt between 1994 and 2005.2013-04-22T13:28:44+00:00enAn Equilibrium Analysis of the Rise in House Prices and Mortgage Debt2013-04-22Asset pricingCredit and credit aggregatesEconomic modelsWorking Paper 2013-09https://www.bankofcanada.ca/wp-content/uploads/2013/04/wp2013-09.pdfAn Equilibrium Analysis of the Rise in House Prices and Mortgage DebtShaofeng XuApril 2013EE2E21E4E44GG1G11RR2R21