Archives for LFIN

Joint with ISBA New approach to distribution-free testing for linearity of regression. Related topics and extensions Estate Khmaladze, University of Wellington, NZ Consider the classical problem that in the pairs $(X_i,Y_i)$, the response variables $Y_i$ have linear regression $a+bX_i$...

Comoment Risk in Corporate Bond Yields and Returns Pascal François, HEC Montréal This paper provides a comoment factor analysis of corporate bond returns using sector index bond portfolios. Corporate bond excess default return are decomposed into systematic default risk premiums rewarding...

Central Bank Communication and the Yield Curve Andrea Vedolin, Boston University Using the institutional features of ECB monetary policy announcements, we provide evidence for the risk premium channel of central bank communication. While central bank communication had a...

A Theory of Firm-Level Production Networks Alireza Tahbaz-Salehi, Northwestern University This paper develops a theory of firm-level production networks, with firm-specific relationships, endogenous bankruptcies, and market power. Firms in each industry have access to a production...