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1.
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La présente étude contient une analyse détaillée de la structure et des propriétés sectorielles de SAM (Small Annual Model), modèle économétrique construit au département[...]
1989 | Texte | Rapport technique - Technical Report |
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This paper proposes new measures of the integrated variance, measures which use high-frequency bid-ask spreads and quoted depths. The traditional approach assumes that th[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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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 co[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness model[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator insp[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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6.
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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 [...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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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 informa[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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8.
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The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns. Their interest lies in the fact that the dynam[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
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9.
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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, desc[...]
1996 | Text | Technical Report - Rapport technique |
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10.
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This volume contains a detailed description of the structure and sectoral properties of the Bank of Canada's Small Annual Model, SAM. The SAM model, constructed in the Re[...]
1985 | Text | Technical Report - Rapport technique |
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