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2024-03-29T01:17:05+00:00
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Steps in Applying Extreme Value Theory to Finance: A Review
https://www.bankofcanada.ca/2000/11/working-paper-2000-20/
Extreme value theory (EVT) has been applied in fields such as hydrology and insurance. It is a tool used to consider probabilities associated with extreme and thus rare events. EVT is useful in modelling the impact of crashes or situations of extreme stress on investor portfolios.
2000-11-08T15:54:29+00:00
en
Steps in Applying Extreme Value Theory to Finance: A Review
2000-11-08
Financial markets
Working Paper 2000-20
https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-20.pdf
Steps in Applying Extreme Value Theory to Finance: A Review
Younes Bensalah
November 2000
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A 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+00:00
en
A Practical Guide to Swap Curve Construction
2000-08-08
Asset pricing
International financial markets
Working Paper 2000-17
https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-17.pdf
A Practical Guide to Swap Curve Construction
Uri Ron
August 2000
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Volatility 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+00:00
en
Volatility Transmission Between Foreign Exchange and Money Markets
2000-08-08
International financial markets
Working Paper 2000-16
https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-16.pdf
Volatility Transmission Between Foreign Exchange and Money Markets
Shafiq K. Ebrahim
August 2000
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Modelling Risk Premiums in Equity and Foreign Exchange Markets
https://www.bankofcanada.ca/2000/05/working-paper-2000-9/
The observed predictability of excess returns in equity and foreign exchange markets has largely been attributed to the presence of time-varying risk premiums in these markets. For example, excess equity returns were found to be explained by various financial and economic variables.
2000-05-07T16:06:53+00:00
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Modelling Risk Premiums in Equity and Foreign Exchange Markets
2000-05-07
Exchange rates
Financial markets
Market structure and pricing
Working Paper 2000-9
https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-9.pdf
Modelling Risk Premiums in Equity and Foreign Exchange Markets
René Garcia
Maral Kichian
May 2000
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