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Bank of Canada working papers are theoretical or empirical works-in-progress on subjects in economics and finance. The views expressed in this paper are those of the authors. No responsibility for them should be attributed to the Bank of Canada. ii Acknowledgements We thank Scott Hendry, Kenneth Judd and Wally Speckert for very helpful conversations. We thank seminar participants at the EC 2 Co...

This paper investigates stock-bond portfolios’tail risks such as value-at-risk (VaR) and expected shortfall (ES), and the way in which these measures have been a¤ected by the global …nancial crisis. The semiparametric t-copula is found to be adequate for modelling stock-bond joint distributions of G7 countries and Australia. Empirical results show that weak (negative) dependence has increased f...

Article history: Received 11 January 2006 Received in revised form 31 July 2008 Accepted 1 August 2008 Available online 6 August 2008 This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as away of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of vola...

Most studies of the predictability of stock and bond returns rely on in-sample tests. In this paper, we test the ability of ten financial variables that have appeared in the extant literature to predict S&P 500 and CRSP equal-weighted stock returns out-of-sample over horizons of 1-10 years. We also test the ability of two financial variables, the term and default spreads, to predict long-term c...

In this paper, we undertake an extensive analysis of in-sample and out-of-sample tests of stock return predictability in an effort to better understand the nature of the empirical evidence on return predictability. We show that a number of financial variables appearing in the literature display both insample and out-of-sample predictive ability with respect to stock returns in annual data cover...

study of genotype by environment interaction (gei) has assumed great importance in genotype testing programs due to yield performance of a genotype is a result of interaction between genotype and environment. gei occurs when the performance of the genotypes is not consistent from one environment to another. therefor, 17 barley genotypes with three check cultivars (wa 2196-68/ny6005-18,f1//scoti...

We constructed a single-chain variable fragment miniantibody (G11-scFv) directed toward the transactivation domain of c-Myc, which is fused with the internalization domain Int of Antennapedia at its carboxyl terminus (a cargo-carrier construct). In ELISA experiments, an EC(50) for binding saturation was achieved at concentrations of G11-scFv-Int(-) of approximately 10(-8) M. Internalization of ...