Search
Now showing items 21-30 of 39
Sampling Interval and estimated Betas : Implications for the Presence of Transitory Components in Stock Prices
(Université de Montréal. Département de sciences économiques., 1998)
We provide a theoretical framework to explain the empirical finding that the estimated betas are sensitive to the sampling interval even when using continuously compounded returns. We suppose that stock prices have both ...
Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition
(Université de Montréal. Département de sciences économiques., 1998)
This paper considers various asymptotic approximations in the near-integrated firstorder autoregressive model with a non-zero initial condition. We first extend the work of Knight and Satchell (1993), who considered the ...
The FCLT with Dependent Errors: an Helicopter Tour of the Quality of the Approximation
(Université de Montréal. Département de sciences économiques., 1998)
This note investigates the adequacy of the finite-sample approximation provided by the Functional Central Limit Theorem (FCLT) when the errors are allowed to be dependent. We compare the distribution of the scaled partial ...
Aggregations and Marginalization of GARCH and Stochastic Volatility Models
(Université de Montréal. Département de sciences économiques., 1998)
The GARCH and Stochastic Volatility paradigms are often brought into conflict as two competitive views of the appropriate conditional variance concept : conditional variance given past values of the same series or conditional ...
Environmental Risks : Should Banks Be Liable?
(Université de Montréal. Département de sciences économiques., 1998)
This paper studies the impact of banks' liability for environmental damages caused by their borrowers. Laws or court decisions that declare banks liable for environmental damages have two objectives : (1) finding someone ...
Simulation-Based Finite-and Large-sample Inference Methods in Multivariate Regressions and Seemingly Unrelated Regressions
(Université de Montréal. Département de sciences économiques., 1998)
In the context of multivariate regression (MLR) and seemingly unrelated regressions (SURE) models, it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. in this paper, ...
GLS Detrending, Efficient Unit Root Tests and Structural Change
(Université de Montréal. Département de sciences économiques., 1998)
We extend the class of M-tests for a unit root analyzed by Perron and Ng (1996) and Ng and Perron (1997) to the case where a change in the trend function is allowed to occur at an unknown time. These tests M(GLS) adopt the ...
Uncovering Financial Markets Beliefs About Inflation Targets
(Université de Montréal. Département de sciences économiques., 1998)
This paper exploits the term structure of interest rates to develop testable economic restrictions on the joint process of long-term interest rates and inflation when the latter is subject to a targeting policy by the ...
Finite-sample inference methods for simultaneous equations and models with unobserved and generated regressors
(Université de Montréal. Département de sciences économiques., 1998)
We propose finite sample tests and confidence sets for models with unobserved and generated regressors as well as various models estimated by instrumental variables methods. The validity of the procedures is unaffected by ...
Risk Aversion, Intertemporal Substitution, and Option Pricing
(Université de Montréal. Département de sciences économiques., 1998)
This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under ...