C4 - Econometric and Statistical Methods: Special Topics - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T09:29:21+00:00The Application of Artificial Neural Networks to Exchange Rate Forecasting: The Role of Market Microstructure Variables
https://www.bankofcanada.ca/2000/12/working-paper-2000-23/
Artificial neural networks (ANN) are employed for high-frequency Canada/U.S. dollar exchange rate forecasting. ANN outperform random walk and linear models in a number of recursive out-of- sample forecasts.2000-12-08T16:19:34+00:00enThe Application of Artificial Neural Networks to Exchange Rate Forecasting: The Role of Market Microstructure Variables2000-12-08Exchange ratesWorking Paper 2000-23 https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-23.pdfThe Application of Artificial Neural Networks to Exchange Rate Forecasting: The Role of Market Microstructure VariablesNikola GradojevicJing YangDecember 2000CC4C45FF3F31Steps in Applying Extreme Value Theory to Finance: A Review
https://www.bankofcanada.ca/2000/11/working-paper-2000-20/
Extreme value theory (EVT) has been applied in fields such as hydrology and insurance. It is a tool used to consider probabilities associated with extreme and thus rare events. EVT is useful in modelling the impact of crashes or situations of extreme stress on investor portfolios.2000-11-08T15:54:29+00:00enSteps in Applying Extreme Value Theory to Finance: A Review2000-11-08Financial marketsWorking Paper 2000-20 https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-20.pdfSteps in Applying Extreme Value Theory to Finance: A ReviewYounes BensalahNovember 2000CC0C4C5GG1