Engel, C., J. Frankel, Kenneth A. Froot, and T. Rodrigues. "Tests of Conditional Mean-Variance Efficiency of the U.S. Stock Market." Journal of Empirical Finance 2 (March 1995). (Revised from NBER ...

This article introduces a new model called the buffered autoregressive model with generalized autoregressive conditional heteroscedasticity (BAR-GARCH). The proposed model, as an extension of the BAR ...

Annales d'Économie et de Statistique, No. 91/92, Econometric Evaluation of Public Policies: Methods and Applications (JULY - DECEMBER 2008), pp. 175-187 (13 pages) In paired randomized experiments ...

Economic forecasts usually provide point estimates for the conditional mean of GDP growth (or the GDP gap). However, such point forecasts ignore risks around the central forecast and, at times, may ...