1.
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 |
2.
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 |
3.
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 |
4.
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 |
5.
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 |
6.
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 |