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Bank of Canada RSS Feedsen2024-03-29T13:51:30+00:00Affine Term-Structure Models: Theory and Implementation
https://www.bankofcanada.ca/2001/10/working-paper-2001-15/
Affine models describe the stylized time-series properties of the term structure of interest rates in a reasonable manner, they generalize relatively easily to higher dimensions, and a vast academic literature exists relating to their implementation. This combination of characteristics makes the affine class a natural introductory point for modelling interest rate dynamics.2001-10-01T15:57:48+00:00enAffine Term-Structure Models: Theory and Implementation2001-10-01Debt managementEconometric and statistical methodsInterest ratesWorking Paper 2001-15 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-15a.pdfAffine Term-Structure Models: Theory and ImplementationDavid BolderOctober 2001CC0C5GG0