@Copyright, Alex Maynard 2006-2022, All Rights Reserved.
Refereed Publications
"Inference in Predictive Quantile Regressions" (with Katsumi
Shimotsu, and Nina Kuriyama), forthcoming, Journal of Econometrics , updated working paper version ( Original
working paper version )
Raymond Ren; Yunmin Chen; Alex Maynard; Sergiy Pysarenk, Valuating Capital Structure Under Incomplete Information”, Investment Management and Financial Innovations, Volume 20, Issue 3, 48-67 (2023)
"Long-horizon stock valuation and return forecasts based on demographic projections" (with Chaoyi Chen, Nikolay Gospodinov, and Elena Pesavento) Journal of Empirical Finance 2022, vol 68, p. 190–215 ( pre-print )
"Conditional Inference in Nearly Cointegrated Vector Error Correction Models with Small Signal-to-Noise-Ratio" (with Nikolay Gospodinov and Elena Pesavento) Volume Volume 45A:, 295-318 (2022) Advances in Econometrics, special issue in honor of Joon Y. Park.
"Fuel-Feed-Livestock Price Linkages under Structural Changes" (with Zhige Wu and Alfons Weersink)
Applied Economics 2022, vol 54 (Issue 2), p. 206-223
"The Finite Sample Power of Long-Horizon Predictive Tests in
Models with Financial Bubbles" (with Dongmeng Ren) International
Review of Financial Analysis 2019, Vol 63 418–430.
"Asymmetric Spot-Futures Price Adjustments in Grain Markets"
(with Zhige Wu, Alfons Weersink, and Getu Hailu) Journal of Futures
Markets 2018, Vol 38, 8 (Issue 12), p.1549-1564
"The Impact of Local Ethanol Production on Grain Basis in
Ontario," (with Wu, Z., Weersink, A., Hailu, G., & Vyn, R.)
Canadian Journal of Agricultural Economics 2017, Volume 65
(Issue 3), p.409-430
"Empirical Analysis of Corn and Soybean Basis in
Canada" (with Getu Hailu and Alfons Weersink) Applied Economics
incorporating Applied Financial Economics , 2015, Vol. 51 Issue
47, pp. 5491-5509.
"Assessing the Power of Long-Horizon Predictive Tests in
Models of Bull and Bear Markets" (with Dongmeng Ren) in Yoosoon Chang
, Thomas B. Fomby , Joon Y. Park (ed.) Essays in Honor of Peter
C. B. Phillips (Advances in Econometrics, Volume 33), 2014, Emerald
Group Publishing Limited, pp.673 - 711 (
pre-publication version )
"Long Memory Regressors and Predictive Regressions: A two-stage
rebalancing approach" (with Aaron Smallwood and
Mark
E. Wohar), Econometric Reviews 2013, Vol 32, Issue 3
pp. 318-360 Abstract On-line appendix
"Persistence-robust Granger causality testing" (with Dietmar
Bauer), Journal of Econometrics, 2012, Vol 169, Issue 2, pg. 293-300.
Abstract
Extended version
"Level crossing random walk test robust to the presence of
structural breaks" (with Vitali Alexeev),
Computational Statistics and Data Analysis 2012, Vol. 56, Isuue 11, pg. 3322-3344. Abstract working paper version
link to publication
"Sensitivity of Impulse Responses to Small Low Frequency
Co-movements: Reconciling the Evidence on the Effects of Technology Shocks" (with Nikolay Gospodinov and Elena Pesavento),
Journal of Business and Economic Statistics, Vol. 29, Issue 4,
2011, pg 455-467.
Abstract
Paper
Online Appendix
"Public insurance and private savings: who is
affected and by how much?" (with Jiaping Qiu), Journal of Applied Econometrics
Vol. 24, Issue 2, March 2009, pg 282-308 Abstract preprint replication files
"Covariance-based orthogonality tests for regressors with unknown persistence" (with Katsumi Shimotsu), Econometric Theory, Vol. 25, Issue 01, February 2009, pg 63-116. Abstract
working paper version
(Supplement: kernel comparison)
"A new application of exact non-parametric methods to long-horizon predictability tests" (with Wei Liu ), Studies in Nonlinear Dynamics & Econometrics: Vol. 11 No. 1, Article 7. (2007)
http://www.bepress.com/snde/vol11/iss1/art7 (39 pages.)
Abstract
replication files
"The forward premium anomaly: statistical artifact or economic puzzle? New evidence from robust tests", Canadian Journal of Economics 39 (4) (November, 2006), 1244-1281. Abstract
"Testing forward rate unbiasedness allowing for persistent regressors" (with Wei Liu ), Journal of Empirical Finance 12 (2005), 613-628.
Abstract
"Testing for forward rate unbiasedness: on regression in levels and in returns," The Review of Economics and Statistics 85(2) (2003), 313-327. Abstract
"Rethinking an old empirical puzzle: Econometric evidence on the forward discount anomaly" (with Peter C.B. Phillips), Journal of Applied Econometrics 16(6) (2001), 671-708. Abstract
Preprint (Cowles Foundation Paper 1035) Data submission
Book Reviews
"Review of Econometric Theory by James Davidson (Blackwell Publishers)", Econometric Theory 19 (2003), 665-674.
Editorials
"Special Issue “Celebrated Econometricians: Peter Phillips”" (with Federico Bandi, Hyungsik Roger R. Moon and Benoit Perron) Econometrics 9, no. 3: 29. https://doi.org/10.3390/econometrics9030029
Working Papers
Liu, Ruifeng and Maynard, Alex and Tsiakas, Ilias, Robust Conditional Kurtosis and the Cross-Section of International Stock Returns (December 9, 2022). Available at SSRN: https://ssrn.com/abstract=4397194
or http://dx.doi.org/10.2139/ssrn.4397194
"Improving Forecasts of Inflation using the
Term Structure of Interest Rates," (with Alonso Gomez and John Maheu), University of Toronto, Department of Economics, Working Paper 319.
Abstract
Paper