C13 - Estimation: General - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T13:42:31+00:00A 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 2013CC1C13EE4E43GG1G12Méthodologie de construction de séries de taux de défaut pour l’industrie canadienne
https://www.bankofcanada.ca/2013/03/discussion-paper-2013-2/
Default rates are series commonly used in stress testing. In Canada, as in many other countries, there are no historical series available for sectoral default rates on bank loans to firms.2013-03-07T09:29:18+00:00frMéthodologie de construction de séries de taux de défaut pour l’industrie canadienne2013-03-07Econometric and statistical methodsFinancial institutionsFinancial stabilityDiscussion Paper 2013-02https://www.bankofcanada.ca/wp-content/uploads/2013/03/dp2013-02.pdfMéthodologie de construction de séries de taux de défaut pour l’industrie canadienneRamdane DjoudadÉtienne BordeleauMarch 2013CC1C13C18GG2G21G3G33