Interest rates - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-29T13:37:56+00:00Bond Risk Premia and Gaussian Term Structure Models
https://www.bankofcanada.ca/2014/04/working-paper-2014-13/
Cochrane and Piazzesi (2005) show that (i) lagged forward rates improve the predictability of annual bond returns, adding to current forward rates, and that (ii) a Markovian model for monthly forward rates cannot generate the pattern of predictability in annual returns.2014-04-17T09:25:35+00:00enBond Risk Premia and Gaussian Term Structure Models2014-04-17Asset pricingInterest ratesWorking Paper 2014-13https://www.bankofcanada.ca/wp-content/uploads/2014/04/wp2014-13.pdfBond Risk Premia and Gaussian Term Structure ModelsBruno FeunouJean-Sébastien FontaineApril 2014EE4E43E47GG1G12