The authors develop and estimate an equilibrium-based model of the Canadian term structure of interest rates. The proposed model incorporates a vector-autoregression description of key macroeconomic dynamics and links them to those of the term structure, where identifying restrictions are based...

This paper surveys recent developments in the theory of option pricing. The emphasis is on the interplay between option prices and investors' impatience and their aversion to risk. The traditional view, steeped in the risk-neutral approach to derivative pricing, has been that these preferences...

An iterative (fixed-point) algorithm for the maximum-likelihood estimation of copula-based models that circumvents the need to compute second-order derivatives of the full likelihood function is adapted and examined. The algorithm exploits the structure of copula-based models that yield a...

This paper develops exact distribution-free tests of unconditional mean-variance efficiency. These new tests allow for unknown forms of non-normalities, conditional heteroskedasticity, and other non-linear temporal dependencies among the absolute values of the error terms in the asset pricing...

A general method is proposed for the construction of valid simultaneous confidence sets in the context of stationary GARCH models. The proposed method proceeds by numerically inverting the conventional likelihood ratio test. In order to hedge against the risk of a spurious rejection, candidate...