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Bank of Canada RSS Feedsen2024-03-29T02:07:13+00:00Volatility and Liquidity Costs
https://www.bankofcanada.ca/2013/08/working-paper-2013-29/
Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator inspired by the market microstructure literature to explicitly model the noise and remove it from observed returns before estimating their variance.2013-08-20T10:09:42+00:00enVolatility and Liquidity Costs2013-08-20Econometric and statistical methodsFinancial marketsMarket structure and pricingWorking Paper 2013-29https://www.bankofcanada.ca/wp-content/uploads/2013/08/wp2013-29.pdfVolatility and Liquidity CostsSelma ChakerAugust 2013CC1C14C5C51C58GG2G20Are Sunspots Learnable? An Experimental Investigation in a Simple General-Equilibrium Model
https://www.bankofcanada.ca/2013/05/working-paper-2013-14/
We conduct experiments with human subjects in a model with a positive production externality in which productivity is a non-decreasing function of the average level of employment of other firms.2013-05-29T12:33:16+00:00enAre Sunspots Learnable? An Experimental Investigation in a Simple General-Equilibrium Model2013-05-29Economic modelsWorking Paper 2013-14https://www.bankofcanada.ca/wp-content/uploads/2013/05/wp2013-14.pdfAre Sunspots Learnable? An Experimental Investigation in a Simple General-Equilibrium ModelJasmina ArifovicGeorge EvansOlena KostyshynaMay 2013DD8D83GG2G20