C - Mathematical and Quantitative Methods - Bank of Canada
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2024-03-28T20:57:07+00:00
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Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model
https://www.bankofcanada.ca/2001/12/working-paper-2001-23/
This paper uses a smooth transition error-correction model (STECM) to model the one-year and five-year mortgage rate changes. The model allows for a non-linear adjustment process of mortgage rates towards their long-run equilibrium.
2001-12-01T11:43:24+00:00
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Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model
2001-12-01
Econometric and statistical methods
Interest rates
Working Paper 2001-23
https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-23.pdf
Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model
Ying Liu
December 2001
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C22
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A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data
https://www.bankofcanada.ca/2001/12/working-paper-2001-21/
This paper describes a new test for evaluating conditional density functions that remains valid when the data are time-dependent and that is therefore applicable to forecasting problems. We show that the test statistic is asymptotically distributed standard normal under the null hypothesis, and diverges to infinity when the null hypothesis is false.
2001-12-01T10:34:02+00:00
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A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data
2001-12-01
Econometric and statistical methods
Working Paper 2001-21
https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-21.pdf
A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data
Fuchun Li
Greg Tkacz
December 2001
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C15
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E37
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Evaluating Factor Models: An Application to Forecasting Inflation in Canada
https://www.bankofcanada.ca/2001/11/working-paper-2001-18/
This paper evaluates the forecasting performance of factor models for Canadian inflation. This type of model was introduced and examined by Stock and Watson (1999a), who have shown that it is quite promising for forecasting U.S. inflation.
2001-11-01T07:41:10+00:00
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Evaluating Factor Models: An Application to Forecasting Inflation in Canada
2001-11-01
Econometric and statistical methods
Inflation and prices
Working Paper 2001-18
https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-18.pdf
Evaluating Factor Models: An Application to Forecasting Inflation in Canada
Marc-André Gosselin
Greg Tkacz
November 2001
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C32
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E37
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Affine Term-Structure Models: Theory and Implementation
https://www.bankofcanada.ca/2001/10/working-paper-2001-15/
Affine models describe the stylized time-series properties of the term structure of interest rates in a reasonable manner, they generalize relatively easily to higher dimensions, and a vast academic literature exists relating to their implementation. This combination of characteristics makes the affine class a natural introductory point for modelling interest rate dynamics.
2001-10-01T15:57:48+00:00
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Affine Term-Structure Models: Theory and Implementation
2001-10-01
Debt management
Econometric and statistical methods
Interest rates
Working Paper 2001-15
https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-15a.pdf
Affine Term-Structure Models: Theory and Implementation
David Bolder
October 2001
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C5
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Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods
https://www.bankofcanada.ca/2001/07/working-paper-2001-12/
This paper evaluates linear and non-linear forecast-combination methods. Among the non-linear methods, we propose a nonparametric kernel-regression weighting approach that allows maximum flexibility of the weighting parameters.
2001-07-01T15:10:54+00:00
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Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods
2001-07-01
Econometric and statistical methods
Working Paper 2001-12
https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-12.pdf
Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods
Fuchun Li
Greg Tkacz
July 2001
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Testing for a Structural Break in the Volatility of Real GDP Growth in Canada
https://www.bankofcanada.ca/2001/06/working-paper-2001-9/
This study tests for a structural break in the volatility of real GDP growth in Canada following the methodology of McConnell and Quiros (1998). A break is found in the first quarter of 1991.
2001-06-01T12:24:06+00:00
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Testing for a Structural Break in the Volatility of Real GDP Growth in Canada
2001-06-01
Business fluctuations and cycles
Econometric and statistical methods
Working Paper 2001-9
https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-9.pdf
Testing for a Structural Break in the Volatility of Real GDP Growth in Canada
Alexandre Debs
June 2001
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C12
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Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity
https://www.bankofcanada.ca/2001/02/working-paper-2001-2/
This paper proposes a class of linear signed rank statistics to test for a random walk with unknown drift in the presence of arbitrary forms of conditional heteroscedasticity.
2001-02-01T13:32:09+00:00
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Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity
2001-02-01
Econometric and statistical methods
Working Paper 2001-2
https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-2.pdf
Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity
Richard Luger
February 2001
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