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Bank of Canada RSS Feedsen2024-03-29T05:16:50+00:00Exchange Rates and Oil Prices
https://www.bankofcanada.ca/1995/09/working-paper-1995-8/
This paper derives analytical gradients for a broad class of regime-switching models with Markovian state-transition probabilities. Such models are usually estimated by maximum likelihood methods, which require the derivatives of the likelihood function with respect to the parameter vector. These gradients are usually calculated by means of numerical techniques. The paper shows that analytical gradients […]1995-09-01T14:43:46+00:00enExchange Rates and Oil Prices1995-09-01Exchange ratesWorking Paper 1995-8 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp95-8.pdfExchange Rates and Oil PricesRobert AmanoSimon van NordenSeptember 1995