G12 - Asset Pricing; Trading volume; Bond Interest Rates - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T13:45:23+00:00Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing
https://www.bankofcanada.ca/2007/08/working-paper-2007-47/
Asymmetric shocks are common in markets; securities' payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives equilibrium prices.2007-08-07T11:40:55+00:00enImplications of Asymmetry Risk for Portfolio Analysis and Asset Pricing2007-08-07Financial marketsMarket structure and pricingWorking Paper 2007-47 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-47.pdfImplications of Asymmetry Risk for Portfolio Analysis and Asset PricingFousseni Chabi-YoDietmar LeisenEric RenaultAugust 2007CC5C52DD5D58GG1G11G12Price Discovery in Canadian and U.S. 10-Year Government Bond Markets
https://www.bankofcanada.ca/2007/08/working-paper-2007-43/
This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information content of cash and futures prices in the market for Canadian Government bonds using futures market data from the Montreal Exchange and OTC cash market data reflecting the inter-dealer market covered by CanPx.2007-08-02T11:25:43+00:00enPrice Discovery in Canadian and U.S. 10-Year Government Bond Markets2007-08-02Financial marketsMarket structure and pricingWorking Paper 2007-43 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-43.pdfPrice Discovery in Canadian and U.S. 10-Year Government Bond MarketsBryan CampbellScott HendryAugust 2007GG1G12G13G14