1.
This study reevaluates crude oil price forecasts from state-of-the-art VAR models (Baumeister et al., 2022). Unlike Baumeister et al., who use the average-price no-change[...]
2025 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
2.
Forecast combinations, also known as ensemble models, routinely require practitioners to select a model from a massive number of potential candidates. Ten explanatory var[...]
2025 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
3.
Les taux de défaut sont des séries couramment utilisées dans les simulations de crise. Au Canada comme dans beaucoup d’autres pays, on ne dispose pas de séries rétrospect[...]
2013 | Texte | Staff Discussion Paper - Document d’analyse du personnel |
4.
This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization. This new estimator i[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
5.
The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: C[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
6.
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbanc[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
7.
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 |
8.
In this paper, the authors propose a measure of underlying inflation for Canada obtained from estimating a monthly factor model on individual components of the CPI. This [...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
9.
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 |
10.
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 |