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Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility
Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - Centre Interuniversitaire de Recherche en Analyse des … - 2011
theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On … between implied and realized volatilities (the variance risk premium) and we find that a positive variance risk premium (an … anticipated increase in variance) has more impact on returns than a negative variance risk premium. …
Persistent link: https://www.econbiz.de/10008855592
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Risk, Timing and Overoptimism in Private Placements and Public Offerings
Carpentier, Cécile; L'Her, Jean-François; Smith, Stephan - Centre Interuniversitaire de Recherche en Analyse des … - 2007
We examine whether risk, timing or mispricing hypotheses can explain the underperformance of private and public equity … issuers, in Canada, where both categories share several common characteristics. Adding an investment risk factor to the TFPM …
Persistent link: https://www.econbiz.de/10005100594
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Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates
Garcia, René; Luger, Richard - Centre Interuniversitaire de Recherche en Analyse des … - 2009
specification. We contrast it with an arbitrage-free model, where prices of risk are estimated freely without preference constraints …
Persistent link: https://www.econbiz.de/10005052204
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Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models
Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003
Dans cet article, nous proposons des tests sur la forme de la distribution des erreurs dans un modèle de régression linéaire multivarié (RLM). Les tests que nous développons sont fonction des résidus obtenus par moindres carrés multivariés, lesquels sont standardisés de façon à ce que...
Persistent link: https://www.econbiz.de/10005100629
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Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003
level. The tests proposed are applied to an asset pricing model with observable risk-free rates, using monthly returns on …
Persistent link: https://www.econbiz.de/10005100677
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Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2002
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10005100885
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Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2005
In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in...
Persistent link: https://www.econbiz.de/10005100963
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Measuring Longevity Risk for a Canadian Pension Fund
Boyer, M. Martin; Mejza, Joanna; Stentoft, Lars Peter - Centre Interuniversitaire de Recherche en Analyse des … - 2011
pension funds to longevity risk. We present different tools to hedge this risk and the potential cost for two Canadian public …
Persistent link: https://www.econbiz.de/10009004100
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Let's Get "Real"" about Using Economic Data"
Christoffersen, Peter; Ghysels, Eric; Swanson, Norman R. - Centre Interuniversitaire de Recherche en Analyse des … - 2001
We show that using data which are properly available in real time when assessing the sensitivity of asset prices to economic news leads to different empirical findings that when data availability and timing issues are ignored. We do this by focusing on a particular example, namely Chen, Roll and...
Persistent link: https://www.econbiz.de/10005100586
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Bank Leverage Regulation and Macroeconomic Dynamics
Christensen, Ian; Meh, Césaire; Moran, Kevin - Centre Interuniversitaire de Recherche en Analyse des … - 2011
This paper assesses the merits of countercyclical bank balance sheet regulation for the stabilization of financial and economic cycles and examines its interaction with monetary policy. The framework used is a dynamic stochastic general equilibrium modelwith banks and bank capital, in which bank...
Persistent link: https://www.econbiz.de/10009391934