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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 ...
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 ...
Confidence Regions for Calibrated Parameters in Computable General Equilibrium Models
(Université de Montréal. Département de sciences économiques., 1998)
We consider the problem of accessing the uncertainty of calibrated parameters in computable general equilibrium (CGE) models through the construction of confidence sets (or intervals) for these parameters. We study two ...
Simulation-Based Finite-Sample Normality Tests in Linear Regressions
(Université de Montréal. Département de sciences économiques., 1998)
In the literature on tests of normality, much concern has been expressed over the problems associated with residual-based procedures. Indeed, the specialized tables of critical points which are needed to perform the tests ...