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Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods
Li, Fuchun; Tkacz, Greg - Bank of Canada - 2001
, the nonparametric weighting scheme yields the lowest mean-squared errors. When no such correlation exists, forecasts …
Persistent link: https://www.econbiz.de/10005162494
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Real time detection of structural breaks in GARCH models
He, Zhongfang; Maheu, John M. - 2009
proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time …
Persistent link: https://www.econbiz.de/10003933353
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Oil-Price Shocks and Retail Energy Prices in Canada
Chacra, Marwan - Bank of Canada - 2002
Persistent link: https://www.econbiz.de/10005673254
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Real Time Detection of Structural Breaks in GARCH Models
He, Zhongfang; Maheu, John M. - Bank of Canada - 2009
proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time …
Persistent link: https://www.econbiz.de/10008558612
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Structural Change and Forecasting Long-Run Energy Prices
Bernard, Jean-Thomas; Khalaf, Lynda; Kichian, Maral - Bank of Canada - 2004
gas prices, but not for crude oil prices. Out-of-sample forecasts are calculated to differentiate between significant …
Persistent link: https://www.econbiz.de/10005808343
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Using Monthly Indicators to Predict Quarterly GDP
Zheng, Isabel Yi; Rossiter, James - Bank of Canada - 2006
of the method under various amounts of monthly information. The authors' model forecasts GDP growth as early as the first …
Persistent link: https://www.econbiz.de/10005162419
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Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates
Luger, Richard - Bank of Canada - 2004
hypothesis of no difference in the unconditional accuracy of two competing forecasts. The class includes analogues of the well … found empirically even when comparing forecasts from estimated models. …
Persistent link: https://www.econbiz.de/10005162457
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Prévision et analyse de la production manufacturière au Canada : comparaison de modèles linéaires et non linéaires
Demers, Frédérick - Bank of Canada - 2004
explain the growth of output and provide more accurate out-of-sample forecasts. Because of the asymmetry, empirical evidence …
Persistent link: https://www.econbiz.de/10005162516
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Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model
Knight, John; Li, Fuchun; Yuan, Mingwei - Bank of Canada - 1999
Diffusion functions in term-structure models are measures of uncertainty about future price movements and are directly related to the risk associated with holding financial securities. Correct specification of diffusion functions is crucial in pricing options and other derivative securities. In...
Persistent link: https://www.econbiz.de/10005673331
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Empirical Likelihood Block Bootstrapping
Allen, Jason; Gregory, Allan W.; Shimotsu, Katsumi - Bank of Canada - 2008
Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Several block bootstrap techniques have been proposed to correct the...
Persistent link: https://www.econbiz.de/10005808401