C53 - Forecasting and Prediction Methods; Simulation Methods - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T10:05:40+00:00Estimation and Inference by the Method of Projection Minimum Distance
https://www.bankofcanada.ca/2007/12/working-paper-2007-56/
A covariance-stationary vector of variables has a Wold representation whose coefficients can be semi-parametrically estimated by local projections (Jordà, 2005). Substituting the Wold representations for variables in model expressions generates restrictions that can be used by the method of minimum distance to estimate model parameters.2007-12-02T09:26:00+00:00enEstimation and Inference by the Method of Projection Minimum Distance2007-12-02Econometric and statistical methodsWorking Paper 2007-56 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-56.pdfEstimation and Inference by the Method of Projection Minimum DistanceÒscar JordàSharon KozickiDecember 2007CC3C32C5C53EE4E47Multivariate Realized Stock Market Volatility
https://www.bankofcanada.ca/2007/03/working-paper-2007-20/
We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of both lagged volatility and returns.2007-03-07T15:39:50+00:00enMultivariate Realized Stock Market Volatility2007-03-07Econometric and statistical methodsFinancial marketsWorking Paper 2007-20 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-20.pdfMultivariate Realized Stock Market VolatilityGregory BauerKeith VorkinkMarch 2007CC3C32C5C53GG1G14How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables
https://www.bankofcanada.ca/2007/02/working-paper-2007-1/
For stationary transformations of variables, there exists a maximum horizon beyond which forecasts can provide no more information about the variable than is present in the unconditional mean. Meteorological forecasts, typically excepting only experimental or exploratory situations, are not reported beyond this horizon; by contrast, little generally accepted information about such maximum horizons is available for economic variables.2007-02-01T10:00:59+00:00enHow Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables2007-02-01Business fluctuations and cyclesEconometric and statistical methodsWorking Paper 2007-1 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-1.pdfHow Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic VariablesJohn GalbraithGreg TkaczFebruary 2007CC5C53