Richard Luger - Latest

• Small‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type Effects

  Staff Working Paper 2017-10 Sermin Gungor, Richard Luger

  We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock returns.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C3, C32, G, G1, G14

• Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings

  Staff Working Paper 2014-51 Sermin Gungor, Richard Luger

  We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C14, C15, G, G1, G12

• Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances

  Staff Working Paper 2013-16 Sermin Gungor, Richard Luger

  We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C15, C3, C33, G, G1, G11, G12

• Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach

  Staff Working Paper 2010-36 Sermin Gungor, Richard Luger

  We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of non-normalities, heteroskedasticity, time-varying correlations, and even outliers in the asset returns.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C14, C3, C33, G, G1, G11, G12

• The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach

  Staff Working Paper 2005-36 René Garcia, Richard Luger

  The authors develop and estimate an equilibrium-based model of the Canadian term structure of interest rates.

  Content Type(s): Staff research, Staff working papers Topic(s): Interest rates JEL Code(s): E, E4, E43, E44, E47, E5, E52

• Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates

  Staff Working Paper 2004-2 Richard Luger

  The author proposes a class of exact tests of the null hypothesis of exchangeable forecast errors and, hence, of the hypothesis of no difference in the unconditional accuracy of two competing forecasts.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, C2, C22, C5, C52, C53

• On Inflation and the Persistence of Shocks to Output

  Staff Working Paper 2001-22 Maral Kichian, Richard Luger

  This paper empirically investigates the possibility that the effects of shocks to output depend on the level of inflation. The analysis extends Elwood's (1998) framework by incorporating in the model an inflation-threshold process that can potentially influence the stochastic properties of output.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation: costs and benefits JEL Code(s): E, E3, E31, E32, E5, E52, E58

• Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity

  Staff Working Paper 2001-2 Richard Luger

  This paper proposes a class of linear signed rank statistics to test for a random walk with unknown drift in the presence of arbitrary forms of conditional heteroscedasticity.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, C2, C22