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Risk premia and seasonality in commodity futures (replication data)
We develop and estimate a multifactor affine model of commodity futures that allows for stochastic seasonality. We document the existence of stochastic seasonal fluctuations in... -
Understanding the economic determinants of the severity of operational losses...
We investigate a novel database of 10,217 extreme operational losses from the Italian bank UniCredit. Our goal is to shed light on the dependence between the severity... -
Testing for optimal monetary policy via moment inequalities (replication data)
The specification of an optimizing model of the monetary transmission mechanism requires selecting a policy regime: commonly, commitment or discretion. In this paper we propose... -
Half-panel jackknife fixed-effects estimation of linear panels with weakly ex...
This paper considers estimation and inference in linear panel regression models with lagged dependent variables and/or other weakly exogenous regressors when N (the...
