C02 - Mathematical Methods - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T20:24:54+00:00Calculating Effective Degrees of Freedom for Forecast Combinations and Ensemble Models
https://www.bankofcanada.ca/2022/09/staff-discussion-paper-2022-19/
This paper derives a calculation for the effective degrees of freedom of a forecast combination under a set of general conditions for linear models. Computing effective degrees of freedom shows that the complexity cost of a forecast combination is driven by the parameters in the weighting scheme and the weighted average of parameters in the auxiliary models.2022-09-20T11:00:03+00:00enCalculating Effective Degrees of Freedom for Forecast Combinations and Ensemble Models2022-09-20Econometric and statistical methodsStaff Discussion Paper 2022-19https://www.bankofcanada.ca/wp-content/uploads/2022/09/sdp2022-19.pdfCalculating Effective Degrees of Freedom for Forecast Combinations and Ensemble ModelsJames YounkerSeptember 2022CC0C01C02C1C13C5C50C51C52C53Classical Decomposition of Markowitz Portfolio Selection
https://www.bankofcanada.ca/2020/06/staff-working-paper-2020-21/
In this study, we enhance Markowitz portfolio selection with graph theory for the analysis of two portfolios composed of either EU or US assets. Using a threshold-based decomposition of their respective covariance matrices, we perturb the level of risk in each portfolio and build the corresponding sets of graphs.2020-06-05T13:51:15+00:00enClassical Decomposition of Markowitz Portfolio Selection2020-06-05Central bank researchStaff Working Paper 2020-21https://www.bankofcanada.ca/wp-content/uploads/2020/06/swp2020-21.pdfClassical Decomposition of Markowitz Portfolio SelectionChristopher DemoneOlivia Di MatteoBarbara CollignonJune 2020CC0C02Market Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate
https://www.bankofcanada.ca/2010/03/discussion-paper-2010-2/
Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required that relates market prices to the desired information, and that ideally can be implemented using timely and low-cost methods.2010-03-19T00:00:06+00:00enMarket Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate2010-03-19Econometric and statistical methodsExchange ratesFinancial marketsDiscussion paper 2010-2https://www.bankofcanada.ca/wp-content/uploads/2010/05/dp10-2.pdfMarket Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate Alejandro GarcĂaAndrei ProkopiwMarch 2010CC0C00C02GG1G13