International financial markets - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-29T13:24:44+00:00A Practical Guide to Swap Curve Construction
https://www.bankofcanada.ca/2000/08/working-paper-2000-17/
The swap market has enjoyed tremendous growth in the last decade. With government issues shrinking in supply and increased price volatilities, the swap term structure has emerged as an alternative pricing, benchmark, and hedging mechanism to the government term structure.2000-08-08T15:32:10+00:00enA Practical Guide to Swap Curve Construction2000-08-08Asset pricingInternational financial marketsWorking Paper 2000-17 https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-17.pdfA Practical Guide to Swap Curve ConstructionUri RonAugust 2000GG1G12G15Volatility Transmission Between Foreign Exchange and Money Markets
https://www.bankofcanada.ca/2000/08/working-paper-2000-16/
This paper uses trivariate generalized autoregressive conditional heteroscedasticity (GARCH) models to study price and volatility spillovers between the foreign exchange and associated money markets. Three models are estimated using data on U.S. dollar/Canadian dollar, U.S. dollar/Deutsche mark, and U.S. dollar/Japanese yen daily exchange rate returns together with returns on 90-day Eurodollar, Euro Canada, Euromark, and Euroyen deposits.2000-08-08T15:26:41+00:00enVolatility Transmission Between Foreign Exchange and Money Markets2000-08-08International financial marketsWorking Paper 2000-16 https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-16.pdfVolatility Transmission Between Foreign Exchange and Money MarketsShafiq K. EbrahimAugust 2000GG1G15