G17 - Financial Forecasting and Simulation - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T05:18:50+00:00A Semiparametric Early Warning Model of Financial Stress Events
https://www.bankofcanada.ca/2013/05/working-paper-2013-13/
The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States.2013-05-14T12:28:51+00:00enA Semiparametric Early Warning Model of Financial Stress Events2013-05-14Econometric and statistical methodsFinancial stabilityWorking Paper 2013-13https://www.bankofcanada.ca/wp-content/uploads/2013/05/wp2013-13.pdfA Semiparametric Early Warning Model of Financial Stress EventsIan ChristensenFuchun LiMay 2013CC1C12C14GG0G01G1G17Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics
https://www.bankofcanada.ca/2013/04/working-paper-2013-12/
This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of risk-neutral and realized volatilities.2013-04-23T10:55:41+00:00enJump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics2013-04-23Asset pricingEconomic modelsWorking Paper 2013-12https://www.bankofcanada.ca/wp-content/uploads/2013/04/wp2013-12.pdfJump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility DynamicsJianjian JinApril 2013GG1G12G17