Des Mc Manus - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T05:44:32+00:00Estimating One-Factor Models of Short-Term Interest Rates
https://www.bankofcanada.ca/1999/11/working-paper-1999-18/
There currently exists in the literature several continuous-time one-factor models for short-term interest rates. This paper considers a wide range of these models that are nested into one general model. These models are approximated using both a discrete-time model and a model that accounts for aggregation effects over time, and are estimated by both the […]1999-11-04T10:41:22+00:00enEstimating One-Factor Models of Short-Term Interest Rates1999-11-04Financial marketsInterest ratesWorking Paper 1999-18 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp99-18.pdfEstimating One-Factor Models of Short-Term Interest RatesDes Mc ManusDavid WattNovember 1999CC5C52GG1G10The Information Content of Interest Rate Futures Options
https://www.bankofcanada.ca/1999/09/working-paper-1999-15/
Options prices are being increasingly employed to extract market expectations and views about monetary policy. In this paper, eurodollar options are monitored to examine the evolution of market sentiment over the possible future values of eurodollar rates. Risk-neutral probability functions are employed to synopsize the information contained in the prices of euro/dollar futures options. Several […]1999-09-14T08:35:44+00:00enThe Information Content of Interest Rate Futures Options1999-09-14Financial marketsInterest ratesWorking Paper 1999-15 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp99-15.pdfThe Information Content of Interest Rate Futures OptionsDes Mc ManusSeptember 1999GG1G14