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24 Results

Volatility Forecasting when the Noise Variance Is Time-Varying

Staff Working Paper 2013-48 Selma Chaker, Nour Meddahi
This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the noise variance is related to the true return volatility.

Which Parametric Model for Conditional Skewness?

Staff Working Paper 2013-32 Bruno Feunou, Mohammad R. Jahan-Parvar, Roméo Tedongap
This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness models. This procedure is based on regressing the realized skewness measures on model-implied conditional skewness values.
Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C51, G, G1, G12, G15

Volatility and Liquidity Costs

Staff Working Paper 2013-29 Selma Chaker
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.

Inflation Targeting and Price-Level-Path Targeting in the GEM: Some Open Economy Considerations

Staff Working Paper 2008-6 Donald Coletti, René Lalonde, Dirk Muir
This paper compares the performance of simple inflation targeting (IT) and price-level path targeting (PLPT) rules to stabilize the macroeconomy, in response to a series of shocks, similar to those seen in Canada and the United States over the 1983 to 2004 period.

Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis

Staff Working Paper 2007-13 David Bolder, Tiago Rubin
The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt-management strategy provides a wide variety of useful information. It does not, however, assist in determining an optimal debt-management strategy for the government in its current form.

Oil-Price Shocks and Retail Energy Prices in Canada

Staff Working Paper 2002-38 Marwan Chacra
The effects of global energy-price shocks on retail energy prices in Canada are examined. More specifically, the author looks at the response of the consumer price indexes for gasoline, heating oil, natural gas, and electricity in Canada to movements in world crude oil prices.

Non-Parametric and Neural Network Models of Inflation Changes

Staff Working Paper 2000-7 Greg Tkacz
Previous studies have shown that interest rate yield spreads contain useful information about future changes in inflation. However, such studies have for the most part focused on linear models, ignoring potential non-linearities between interest rates and inflation.
Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Inflation and prices JEL Code(s): C, C5, C51, E, E3, E31

The Bank of Canada's New Quarterly Projection Model, Part 4. A Semi-Structural Method to Estimate Potential Output: Combining Economic Theory with a Time-Series Filter

Technical Report No. 77 Leo Butler
The level of potential output plays a central role in the Bank of Canada's new Quarterly Projection Model (QPM). This report, the fourth in a series documenting QPM, describes a general method to measure potential output, as well as its implementation in the QPM system.
Content Type(s): Staff research, Technical reports Topic(s): Economic models JEL Code(s): C, C5, C51, E, E2, E23
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