14 Works

Good Volatility, Bad Volatility and Option Pricing

Bruno Feunou & Cédric Okou
Advances in variance analysis permit the splitting of the total quadratic variation of a jump diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions, and highlight the upside/downside variance spread as a driver of the asymmetry in stock price distributions. To appraise the economic gain of this decomposition, we design a new and flexible option pricing model in which the underlying asset price exhibits distinct upside and downside...

Data from: Enhanced light interception and light use efficiency explain overyielding in young tree communities

Laura Williams, Ethan Butler, Jeannine Cavender-Bares, Artur Stefanski, Karen Rice, Christian Messier, Alain Paquette & Peter Reich
Diverse plant communities are often more productive than mono-specific ones. Several possible mechanisms underlie this phenomenon but their relative importance is unknown. Here we investigated whether light interception alone or in combination with light use efficiency (LUE) of dominant and subordinate species explained greater productivity of mixtures relative to monocultures (i.e. overyielding) in 108 young experimental tree communities. We found mixed-species communities that intercepted more light than their corresponding monocultures had 84% probability of overyielding....

Exotics are more complementary over time in tree biodiversity-ecosystem functioning experiments

Michael Belluau, Alain Paquette, Dominique Gravel, Peter Reich, Artur Stefanski & Christian Messier
Background and aims The Biodiversity – Ecosystem Functioning (BEF) literature proposes that ecosystem functioning increases with biodiversity because of complementarity in resource use among species, associated with functional diversity. In this study, we challenge the trait-based ecology framework by comparing congeneric exotic (European) and native (North American) tree species showing similar resource-use functional trait values. The trait-based framework suggests that two functionally equivalent species should play similar roles in a community, resulting in similar interactions...

Downside Variance Risk Premium

Bruno Feunou, Mohammad R. Jahan-Parvar & Cédric Okou
We decompose the variance risk premium into upside and downside variance risk premia. These components reflect market compensation for changes in good and bad uncertainties. Their difference is a measure of the skewness risk premium (SRP), which captures asymmetric views on favorable versus undesirable risks. Empirically, we establish that the downside variance risk premium (DVRP) is the main component of the variance risk premium. We find a positive and significant link between the DVRP and...

Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models

Bruno Feunou & Cédric Okou
This paper provides a novel methodology for estimating option pricing models based on risk-neutral moments. We synthesize the distribution extracted from a panel of option prices and exploit linear relationships between risk-neutral cumulants and latent factors within the continuous time affine stochastic volatility framework. We find that fitting the Andersen, Fusari, and Todorov (2015b) option valuation model to risk-neutral moments captures the bulk of the information in option prices. Our estimation strategy is effective, easy...

Evaluating the Quarterly Projection Model: A Preliminary Investigation

Robert Amano, Kim McPhail, Hope Pioro & Andrew Rennison
This paper summarizes the results of recent research evaluating the Bank of Canada's Quarterly Projection Model (QPM). Because QPM consists of a steady-state model and a dynamic model, our evaluation work consists of two parts. The first part assesses the calibration of QPM's core steady-state using a variant of Canova's (1994, 1995) Monte Carlo approach. Using parameter values drawn from prior distributions, we assess QPM's sensitivity to various plausible parameter values. Our approach differs somewhat...

Linking genetic, morphological, and behavioural divergence between inland island and mainland deer mice

Joshua Miller, Dany Garant, Charles Perrier, Tristan Juette, Joël Jameson, Denis Réale, Eric Normandeau & Louis Bernatchez
The island syndrome hypothesis (ISH) stipulates that, as a result of local selection pressures and restricted gene flow, individuals from island populations should differ from individuals within mainland populations. Specifically, island populations are predicted to contain individuals that are larger, less aggressive, more sociable, and that invest more in their offspring. To date, tests of the ISH have mainly compared oceanic islands to continental sites, and rarely smaller spatial scales such as inland watersheds. Here,...

Price-Level Targeting and Stabilization Policy: A Review

Steve Ambler
The author surveys recent articles on the costs and benefits of price-level targeting versus inflation targeting, focusing on the benefits and costs of price-level targeting as a tool for stabilization policy. He reviews papers that examine how price-level targeting affects the short-run trade-off between output and inflation variability by influencing expectations of future inflation. The author looks at the implications of this argument for assigning an objective based on price-level targeting to a central bank...

Technology Shocks and Business Cycles: The Role of Processing Stages and Nominal Rigidities

Louis Phaneuf & Nooman Rebei
This paper develops and estimates a dynamic general equilibrium model that realistically accounts for an input-output linkage between firms operating at different stages of processing. Firms face technological change which is specific to their processing stage and charge new prices according to stage-specific Calvo-probabilities. Only a fixed fraction of households have an opportunity to adjust nominal wages to new information each period. Intermediate-stage technology shocks account for the bulk of output variability at business cycle...

Astronomical climate forcing of ~2.5 Ga banded iron formations

Margriet L. Lantink, Joshua H. F. L. Davies, Rick Hennekam, Frederik J. Hilgen, David McB. Martin, Paul R. D. Mason, Gert-Jan Reichart & Urs Schaltegger
Utrecht University, The Netherlands (1); Université du Québec à Montréal, Canada (2); University of Geneva, Switzerland (3); Royal Netherlands Institute for Sea Research, and Utrecht University, The Netherlands (4; Geological Survey of Western Australia (5)

Large-scale banded iron formations (BIFs) were deposited during Neoarchean to early Paleoproterozoic and have been mainly linked to hydrothermal plume activity and the rise of oxygen in the ocean and atmosphere. However, the potential influence of astronomical “Milankovitch”...

Supplementary material for: Building alternative consensus trees and supertrees using k-means and Robinson and Foulds distance

Vladimir Makarenkov
Each gene has its own evolutionary history which can substantially differ from the evolutionary histories of other genes. For example, some individual genes or operons can be affected by specific horizontal gene transfer and recombination events. Thus, the evolutionary history of each gene should be represented by its own phylogenetic tree which may display different evolutionary patterns from the species tree that accounts for the main patterns of vertical descent. The output of traditional consensus...

A Comparison of Alternative Methodologies for Estimating Potential Output and the Output Gap

Chantal Dupasquier, Alain Guay & Pierre St-Amant
In this paper, the authors survey some of the recent techniques proposed in the literature to measure the trend component of output or potential output. Given the reported shortcomings of mechanical filters and univariate approaches to estimate potential output, the paper focusses on three simple multivariate methodologies: the multivariate Beveridge-Nelson methodology (MBN), Cochrane's methodology (CO), and the structural VAR methodology with long-run restrictions applied to output (LRRO). The foundation of these methodologies is first discussed...

Overyielding in young tree communities does not support the stress-gradient hypothesis and is favoured by functional diversity and higher water availability

Michael Belluau, Vitali Valentina, Parker William, Paquette Alain & Messier Christian
Summary: Biodiversity effects on productivity and other ecosystem functions are strongly dependent on climate and resource availability. Based on the stress-gradient hypothesis, under conditions of greater abiotic stress, diversity effects on plant performance are intensified due to the increased relative importance of positive plant interactions. However, whether this hypothesis is consistently applicable in forest systems remains unclear. A field trial was established to test the stress-gradient hypothesis and examine diversity effects on aboveground biomass production...

Data from: Indirect genetic and environmental effects on behaviours, morphology, and life-history traits in a wild Eastern chipmunk population

Francesca Santostefano
Additive genetic variance in a trait reflects its potential to respond to selection, which is key for adaptive evolution in the wild. Social interactions contribute to this genetic variation through indirect genetic effects —the effect of an individual’s genotype on the expression of a trait in a conspecific. However, our understanding of the evolutionary importance of indirect genetic effects in the wild and of their strength relative to direct genetic effects is limited. In this...

Registration Year

  • 2021

Resource Types

  • Text
  • Dataset


  • University of Quebec at Montreal
  • Bank of Canada
  • Université du Québec en Outaouais
  • Université de Sherbrooke
  • University of Minnesota
  • MacEwan University
  • Centre d'Ecologie Fonctionnelle et Evolutive
  • Federal Reserve Board of Governors
  • Royal Netherlands Institute for Sea Research
  • University of Geneva