Showing 1 - 10 of 12
Persistent link: https://www.econbiz.de/10005220956
We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on...
Persistent link: https://www.econbiz.de/10009352264
The prices of commodities produced in Canada have important implications for the performance of the Canadian economy and the conduct of monetary policy. The authors explain an important change to the methodology used to construct the Bank of Canada commodity price index (BCPI). Since its...
Persistent link: https://www.econbiz.de/10008635801
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 measure, labelled the common component of CPI, has intuitive appeal and a number of interesting features. In particular, it is...
Persistent link: https://www.econbiz.de/10010698836
Persistent link: https://www.econbiz.de/10005808333
Persistent link: https://www.econbiz.de/10005162442
In a recent article, Faust and Leeper (1997) discuss reasons why inference from structural VARs identified with long-run restrictions may not be reliable. In this paper, the authors argue that there are reasons to believe that Faust and Leeper's arguments are not devastating in practice. First,...
Persistent link: https://www.econbiz.de/10005162462
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 methodology to test for such non-linear features with the returns on any benchmark portfolio. They estimate the portfolio of...
Persistent link: https://www.econbiz.de/10005162472
An important challenge facing central banks is making decisions under uncertainty about the dynamic effects of monetary policy actions. The authors stress the importance of explicitly recognizing uncertainty about the transmission mechanism when formulating policy advice. They argue that one way...
Persistent link: https://www.econbiz.de/10005162478
The author compares the performance of three Gaussian approximation methods--by Nowman (1997), Shoji and Ozaki (1998), and Yu and Phillips (2001)--in estimating a model of the nonlinear continuous-time short-term interest rate. She finds that the performance of Nowman's method is similar to that...
Persistent link: https://www.econbiz.de/10005162522