1.
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This paper derives analytical gradients for a broad class of regime-switching models with Markovian state-transition probabilities. Such models are usually estimated by m[...]
1995 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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Work on testing for bubbles has caused much debate, much of which has focussed on methodology. Monte Carlo simulations reported in Evans (1991) showed that standard tests[...]
1996 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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Greater intervention by the public sector is often proposed as a solution to the increased speculation and excessive price volatility thought to characterize today's comp[...]
1996 | Text | Technical Report - Rapport technique |
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4.
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We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and abou[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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This paper is a user's guide to a set of Gauss procedures developed at the Bank of Canada for estimating regime-switching models. The procedures can estimate relatively q[...]
1996 | Text | Staff Working Paper - Document de travail du personnel |
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6.
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Since the early 1980s, models based on economic fundamentals have been poor at explaining the movements in the exchange rate (Messe 1990). In response to this problem, Fr[...]
1996 | Text | Staff Working Paper - Document de travail du personnel |
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