Federico Severino
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View article: Persistence-based capital allocation along the FOMC cycle
Persistence-based capital allocation along the FOMC cycle Open
The Federal Reserve holds two main sets of monetary policy meetings, the “Federal Open Market Committee” (FOMC) and the “Board Meetings”, which gather with sixweek and two week cadence respectively. Cieslak, Morse, and Vissing-Jorgensen (2…
View article: COVID-19 effects on the Canadian term structure of interest rates
COVID-19 effects on the Canadian term structure of interest rates Open
In Canada, COVID-19 pandemic triggered exceptional monetary policy interventions by the central bank, which in March 2020 made multiple unscheduled cuts to its target rate. In this paper we assess the extent to which Bank of Canada interve…
View article: A persistence‐based Wold‐type decomposition for stationary time series
A persistence‐based Wold‐type decomposition for stationary time series Open
This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based o…
View article: Multivariate Wold Decompositions
Multivariate Wold Decompositions Open
The Wold decomposition of a weakly stationary time series extends to the multivariate case by allowing each entry of a weakly stationary vectorial process to linearly depend on the components of a vector of shocks. Since univariate coeffic…