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Environmental Risk: 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 ...
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 ...
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 ...
Quadratic M-Estimators for ARCH-Type Processes
(Université de Montréal. Département de sciences économiques., 1998)
This paper addresses the issue of estimating semiparametric time series models specified by their conditional mean and conditional variance. We stress the importance of using joint restrictions on the mean and variance. ...
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 ...
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 ...
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 ...
Non-Commitment and Savings in Dynamic Risk-Sharing Contracts
(Université de Montréal. Département de sciences économiques., 1998)
We characterize the solution to a model of consumption smoothing using financing under non-commitment and savings. We show that, under certain conditions, these two different instruments complement each other perfectly. ...
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 ...