G12 - Asset Pricing; Trading volume; Bond Interest Rates - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T06:44:11+00:00Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics
https://www.bankofcanada.ca/2013/04/working-paper-2013-12/
This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of risk-neutral and realized volatilities.2013-04-23T10:55:41+00:00enJump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics2013-04-23Asset pricingEconomic modelsWorking Paper 2013-12https://www.bankofcanada.ca/wp-content/uploads/2013/04/wp2013-12.pdfJump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility DynamicsJianjian JinApril 2013GG1G12G17A New Linear Estimator for Gaussian Dynamic Term Structure Models
https://www.bankofcanada.ca/2013/04/working-paper-2013-10/
This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization.2013-04-22T13:58:06+00:00enA New Linear Estimator for Gaussian Dynamic Term Structure Models2013-04-22Asset pricingEconometric and statistical methodsInterest ratesWorking Paper 2013-10https://www.bankofcanada.ca/wp-content/uploads/2013/04/wp2013-10.pdfA New Linear Estimator for Gaussian Dynamic Term Structure ModelsAntonio Diez de los RiosApril 2013CC1C13EE4E43GG1G12