Posts

• November 6, 2015

  Weekly Financial Statistics - 6 November 2015

  Content Type(s): Publications, Historical: Weekly Financial Statistics

• Option Valuation with Observable Volatility and Jump Dynamics

  Staff Working Paper 2015-39 Peter Christoffersen, Bruno Feunou, Yoontae Jeon

  Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity dynamics.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing JEL Code(s): G, G1, G12
• November 5, 2015

  5th Conference on Fixed Income Markets

  Conference held on 5 and 6 November 2015

  Content Type(s): Conferences and workshops
• November 4, 2015

  Bank of Canada Announces Establishment of Canadian Fixed-Income Forum (CFIF)

  In light of changes to market functioning since the financial crisis, the Bank of Canada has established a new senior level industry-wide forum to discuss developments in fixed-income market structure and functioning, market practices, and related policy issues.

  Content Type(s): Press, Market notices Source(s): Canadian Fixed-Income Forum
• October 31, 2015

  Research Update - October 2015

  This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website.

  Content Type(s): Staff research, Research newsletters
• October 30, 2015

  Weekly Financial Statistics - 30 October 2015

  Content Type(s): Publications, Historical: Weekly Financial Statistics
• October 29, 2015

  Revision to the Terms of Participation in Auctions for the Government Securities Distributors

  The Department of Finance Canada and the Bank of Canada released today the revised Terms of Participation in Auctions for Government Securities Distributors (the Terms) following the introduction of the new Market Trade Reporting System (MTRS 2.0) by the Investment Industry Regulatory Organization of Canada (IIROC).

  Content Type(s): Press, Market notices
• October 29, 2015

  Banking and Financial Statistics - October 2015

  Content Type(s): Publications, Historical: Banking and Financial Statistics

• Nowcasting BRIC+M in Real Time

  Staff Working Paper 2015-38 Tatjana Dahlhaus, Justin-Damien Guénette, Garima Vasishtha

  Emerging-market economies have become increasingly important in driving global GDP growth over the past 10 to 15 years. This has made timely and accurate assessment of current and future economic activity in emerging markets important for policy-makers not only in these countries but also in advanced economies.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C3, C33, C5, C53, E, E3, E37
• October 27, 2015

  Inflation Targeting—A Matter of Time

  Remarks Timothy Lane CFA Society Atlantic Canada Halifax, Nova Scotia

  Deputy Governor Tim Lane discusses monetary policy decision making and how the Bank assesses the underlying trend in inflation.

  Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Econometric and statistical methods, Exchange rates, Inflation and prices, Inflation targets, Monetary and financial indicators, Monetary policy framework