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This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an isometric scaling operator that makes averages of...
Persistent link: https://www.econbiz.de/10012215416
This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an isometric scaling operator...
Persistent link: https://www.econbiz.de/10012637320
This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an isometric scaling operator that makes averages of...
Persistent link: https://www.econbiz.de/10012905774
In Canada, COVID-19 pandemic triggered exceptional monetary policy interventions by the central bank, which in March 2020 made multiple unscheduled cuts to its target rate. The aim of this paper is to assess the extent to which Bank of Canada interventions affected the determinants of the yield...
Persistent link: https://www.econbiz.de/10013240282
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Persistent link: https://www.econbiz.de/10011805855
This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an isometric scaling operator that makes averages of...
Persistent link: https://www.econbiz.de/10012202240
Persistent link: https://www.econbiz.de/10011803236