The good forecasting performance of factor models has been well documented in the literature. While many studies focus on a very limited set of variables (typically GDP a[...]

Affine models describe the stylized time-series properties of the term structure of interest rates in a reasonable manner, they generalize relatively easily to higher dim[...]

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[...]

The authors describe the key features of a new large-scale Canadian macroeconomic forecasting model developed over the past two years at the Bank of Canada. The new model[...]

We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrag[...]

Using identification-robust methods, the authors estimate and evaluate for Canada and the United States various classes of inflation equations based on generalized struct[...]

Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies. The authors provide a statistical met[...]

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[...]

This paper conducts a real-time, out-of-sample analysis of the forecasting power of various aggregate financial intermediaries’ balance sheets to a wide range of economic[...]

This paper finds a strong empirical link between domestic banking sector competitiveness and de facto international integration. De-facto international integration is mea[...]