the variation in the GDP in Canada. My findings suggest that TFP news shock is the key driver of GDP in the medium run and … it creates significant positive co-movements among the aggregate variables at business cycle frequencies. Demand shock … dominates in the short run, however, its hard to pin down the exact source of the shock. The findings are robust to alternative …

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data … correlation matrices and exogenous factors. The Fisher-z transformation guarantees robustness of correlation estimators under … prominent parametric and nonparametric alternatives to correlation modeling. Based on economic performance criteria, we …