G1 - General Financial Markets - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T08:30:39+00:00The U.S.-Dollar Supranational Zero-Coupon Curve
https://www.bankofcanada.ca/2012/06/discussion-paper-2012-5/
The author describes the construction of the U.S.-dollar-denominated zero-coupon curve for the supranational asset class from 1995 to 2010. He uses yield data from a crosssection of bonds issued by AAA-rated supranational entities to fit the Svensson (1995) term-structure model.2012-06-06T08:34:50+00:00enThe U.S.-Dollar Supranational Zero-Coupon Curve2012-06-06Asset pricingFinancial marketsDiscussion Paper 2012-5https://www.bankofcanada.ca/wp-content/uploads/2012/06/dp2012-05.pdfThe U.S.-Dollar Supranational Zero-Coupon CurveFrancisco RivadeneyraJune 2012GG1G12G15