Global ETD Search
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Showing 1 to 1 of 1 for “"Quantile projections"”.
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Essays on Commodity Price Shocks, Bank Risk and Market Volatility Forecasting
… and financial risk by factor–based conditional quantile projections. My model forecasts the steepest decline in GDP–Oil at 2009Q2, and the peaks of the nonperforming loan (NPL) ratios of Bank of Montreal (BMO) and Canadian Imperial Bank of Commerce (CIBC) at 2010Q2 and 2010Q3, respectively. For …