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Real Time Detection of Structural Breaks in GARCH Models

He, Zhongfang; Maheu, John M. - Bank of Canada - 2009

A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time. The method conveniently deals with the path dependence...

Persistent link: https://www.econbiz.de/10008558612

Structural Change and Forecasting Long-Run Energy Prices

Bernard, Jean-Thomas; Khalaf, Lynda; Kichian, Maral - Bank of Canada - 2004

The authors test the statistical significance of Pindyck’s (1999) suggested class of econometric equations that model the behaviour of long-run real energy prices. The models postulate meanreverting prices with continuous and random changes in their level and trend, and are estimated using...

Persistent link: https://www.econbiz.de/10005808343

Using Monthly Indicators to Predict Quarterly GDP

Zheng, Isabel Yi; Rossiter, James - Bank of Canada - 2006

, delivers improved accuracy relative to those of several macroeconomic models used for short-term forecasting of Canadian output …. The implications of real-time versus pseudo-real-time forecasting are investigated, and the authors find that the choice …

Persistent link: https://www.econbiz.de/10005162419

Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates

Luger, Richard - Bank of Canada - 2004

The author proposes a class of exact tests of the null hypothesis of exchangeable forecast errors and, hence, of the hypothesis of no difference in the unconditional accuracy of two competing forecasts. The class includes analogues of the well-known Diebold and Mariano (1995) parametric and...

Persistent link: https://www.econbiz.de/10005162457

Prévision et analyse de la production manufacturière au Canada : comparaison de modèles linéaires et non linéaires

Demers, Frédérick - Bank of Canada - 2004

In this paper, the author describes reduced-form linear and non-linear econometric models developed to forecast and analyze quarterly data on output growth in the Canadian manufacturing sector from 1981 to 2003. Empirical evidence reported in the paper suggests that economic activity in the...

Persistent link: https://www.econbiz.de/10005162516

Oil-Price Shocks and Retail Energy Prices in Canada

Chacra, Marwan - Bank of Canada - 2002

Persistent link: https://www.econbiz.de/10005673254

Real time detection of structural breaks in GARCH models

He, Zhongfang; Maheu, John M. - 2009

Persistent link: https://www.econbiz.de/10003933353

Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach

Gravelle, Toni; Li, Fuchun - Bank of Canada - 2011

In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the financial institution. The higher the contribution is, the more systemically important is the institution for the system. Based...

Persistent link: https://www.econbiz.de/10009326653

Volatility and Liquidity Costs

Chaker, Selma - Bank of Canada - 2013

Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator inspired by the market microstructure literature to explicitly model the noise and remove it from observed returns before...

Persistent link: https://www.econbiz.de/10010686953

Volatility Forecasting when the Noise Variance Is Time-Varying

Chaker, Selma; Meddahi, Nour - Bank of Canada - 2013

This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices … realized variance may improve volatility forecasting if the noise variance is related to the true return volatility. The … dealing with forecasting integrated variance or trading options. The empirical results for Alcoa stock show several …

Persistent link: https://www.econbiz.de/10010723571