August 23, 2013 Weekly Financial Statistics - 23 August 2013 Content Type(s): Publications, Historical: Weekly Financial Statistics
Volatility and Liquidity Costs Staff Working Paper 2013-29 Selma Chaker 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 estimating their variance. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Market structure and pricing JEL Code(s): C, C1, C14, C5, C51, C58, G, G2, G20
Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach Staff Working Paper 2013-28 Christiane Baumeister, Lutz Kilian The U.S. Energy Information Administration regularly publishes short-term forecasts of the price of crude oil. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, E, E3, E32, Q, Q4, Q43
January 22, 2014 Release of the Monetary Policy Report Opening statement Stephen S. Poloz Ottawa, Ontario Press conference following the release of the Monetary Policy Report. Content Type(s): Press, Speeches and appearances, Opening statements
January 17, 2014 Weekly Financial Statistics - 17 January 2014 Content Type(s): Publications, Historical: Weekly Financial Statistics
January 3, 2014 Weekly Financial Statistics - 3 January 2014 Content Type(s): Publications, Historical: Weekly Financial Statistics
December 23, 2013 Deputy Governor John Murray to Retire from the Bank of Canada Media Relations Ottawa, Ontario The Bank of Canada announced today that Deputy Governor John Murray will retire on 30 April 2014. Content Type(s): Press, Press releases
Volatility Forecasting when the Noise Variance Is Time-Varying Staff Working Paper 2013-48 Selma Chaker, Nour Meddahi This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the noise variance is related to the true return volatility. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C14, C5, C51, C58
December 12, 2013 Monetary Policy as Risk Management Remarks Stephen S. Poloz Canadian Club of Montreal Montréal, Quebec Governor Stephen S. Poloz discusses how recent experience is leading to a progressive redefinition of central banking. Content Type(s): Press, Speeches and appearances, Remarks
May 3, 2013 Weekly Financial Statistics - 3 May 2013 Content Type(s): Publications, Historical: Weekly Financial Statistics