David Watt - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T15:15:10+00:00Canadian Short-Term Interest Rates and the BAX Futures Market: Analysis of the Impact of Volatility on Hedging Activity and the Correlation of Returns between Markets
https://www.bankofcanada.ca/1997/07/working-paper-1997-18/
This paper analyses how Canadian financial firms manage short-term interest rate risk through the use of BAX futures contracts. The results show that the most effective hedging strategy is, on average, a static strategy based on linear regression that assumes constant variances, even though dynamic models allowing for time-varying variances are found to have superior explanatory power.1997-07-01T11:42:30+00:00enCanadian Short-Term Interest Rates and the BAX Futures Market: Analysis of the Impact of Volatility on Hedging Activity and the Correlation of Returns between Markets1997-07-01Financial marketsInterest ratesWorking Paper 1997-18https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp97-18.pdfCanadian Short-Term Interest Rates and the BAX Futures Market: An Analysis of the Impact of Volatility on Hedging Activity and the Correlation of Returns between Markets.David WattJuly 1997EE4E43