January 23, 2002
Staff research, Publications
-
-
January 18, 2002
Bank of Canada Review - Winter 2001–2002
Cover page
Byzantine 40-Nummi Piece
The 40-nummi piece was the largest and heaviest copper coin minted under Justinian. About the size of an old Canadian silver dollar, it weighs 22.76 grams. It was struck in Constantinople (now Istanbul), the capital of the Byzantine Empire and is part of the National Currency Collection, Bank of Canada.
Photography by James Zagon, Ottawa.
-
An Introduction to Wavelets for Economists
Wavelets are mathematical expansions that transform data from the time domain into different layers of frequency levels. Compared to standard Fourier analysis, they have the advantage of being localized both in time and in the frequency domain, and enable the researcher to observe and analyze data at different scales. -
Asset Allocation Using Extreme Value Theory
This paper examines asset allocation strategies in an extreme value at risk (VaR) framework in which the risk measure is the p-quantile from the extreme value distribution. The main focus is on the allocation problem faced by an extremely risk-averse institution, such as a central bank. -
Taylor Rules in the Quarterly Projection Model
In recent years, there has been a lot of interest in Taylor-type rules. Evidence in the literature suggests that Taylor-type rules are optimal in a number of models and are fairly robust across different models.