Christian Lundblad - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T02:16:20+00:00Tractable Term Structure Models
https://www.bankofcanada.ca/2015/12/staff-working-paper-2015-46/
We introduce a new framework that facilitates term structure modeling with both positive interest rates and flexible time-series dynamics but that is also tractable, meaning amenable to quick and robust estimation.2015-12-14T09:07:38+00:00enTractable Term Structure Models2015-12-14Asset pricingInterest ratesInternational financial marketsInternational topicsMonetary policy and uncertaintyMonetary policy transmissionStaff Working Paper 2015-46https://www.bankofcanada.ca/wp-content/uploads/2015/12/wp2015-46.pdfTractable Term Structure ModelsBruno FeunouJean-Sébastien FontaineAnh LeChristian LundbladDecember 2015GG1G12