FSRC - Financial System Research Center

• 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

• A Semiparametric Early Warning Model of Financial Stress Events

  Staff Working Paper 2013-13 Ian Christensen, Fuchun Li

  The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial stability JEL Code(s): C, C1, C12, C14, G, G0, G01, G1, G17