C - Mathematical and Quantitative Methods - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feeds
en
2024-03-28T08:22:50+00:00
-
Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?
https://www.bankofcanada.ca/1996/08/working-paper-1996-11/
Work on testing for bubbles has caused much debate, much of which has focussed on methodology. Monte Carlo simulations reported in Evans (1991) showed that standard tests for unit roots and cointegration frequently reject the presence of bubbles even when such bubbles are present by construction. Evans referred to this problem as the pitfall of testing for bubbles.
1996-08-03T16:35:30+00:00
en
Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?
1996-08-03
Econometric and statistical methods
Working Paper 1996-11
https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-11.pdf
Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?
Simon van Norden
Robert Vigfusson
August 1996
C
C2
C22
C5
C52
-
Unit-Root Tests and Excess Returns
https://www.bankofcanada.ca/1996/08/working-paper-1996-10/
Several recent papers have presented evidence from foreign exchange and other markets suggesting that the log of excess returns can be characterized as first-order integrated processes (I(1)). This contrasts sharply with the "conventional" wisdom that log prices are integrated of order one I(1) and that log returns should therefore be integrated of order zero I(0), and even more sharply with the view that past returns have no ability to predict future returns (weak market efficiency).
1996-08-02T16:16:04+00:00
en
Unit-Root Tests and Excess Returns
1996-08-02
Econometric and statistical methods
Working Paper 1996-10
https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-10.pdf
Unit-Root Tests and Excess Returns
Marie-Josée Godbout
Simon van Norden
August 1996
C
C1
C12
F
F3
F31
-
Does Inflation Uncertainty Vary with the Level of Inflation?
https://www.bankofcanada.ca/1996/08/working-paper-1996-9/
The purpose of this study is to test the hypothesis that inflation uncertainty increases at higher levels of inflation. Our analysis is based on the generalized autoregressive conditional heteroscedasticity (GARCH) class of models, which allow the conditional variance of the error term to be time-varying. Since this variance is a proxy for inflation uncertainty, a positive relationship between the conditional variance and inflation would be interpreted as evidence that inflation uncertainty increases with the level of inflation.
1996-08-01T16:00:33+00:00
en
Does Inflation Uncertainty Vary with the Level of Inflation?
1996-08-01
Inflation and prices
Monetary policy and uncertainty
Working Paper 1996-9
https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-9.pdf
Does Inflation Uncertainty Vary with the Level of Inflation?
Allan Crawford
Marcel Kasumovich
August 1996
C
C5
C52
E
E3
E31