David Watt - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T15:26:22+00:00Estimating One-Factor Models of Short-Term Interest Rates
https://www.bankofcanada.ca/1999/11/working-paper-1999-18/
There currently exists in the literature several continuous-time one-factor models for short-term interest rates. This paper considers a wide range of these models that are nested into one general model. These models are approximated using both a discrete-time model and a model that accounts for aggregation effects over time, and are estimated by both the […]1999-11-04T10:41:22+00:00enEstimating One-Factor Models of Short-Term Interest Rates1999-11-04Financial marketsInterest ratesWorking Paper 1999-18 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp99-18.pdfEstimating One-Factor Models of Short-Term Interest RatesDes Mc ManusDavid WattNovember 1999CC5C52GG1G10Canadian Short-Term Interest Rates and the BAX Futures Market: Analysis of the Impact of Volatility on Hedging Activity and the Correlation of Returns between Markets
https://www.bankofcanada.ca/1997/07/working-paper-1997-18/
This paper analyses how Canadian financial firms manage short-term interest rate risk through the use of BAX futures contracts. The results show that the most effective hedging strategy is, on average, a static strategy based on linear regression that assumes constant variances, even though dynamic models allowing for time-varying variances are found to have superior explanatory power.1997-07-01T11:42:30+00:00enCanadian Short-Term Interest Rates and the BAX Futures Market: Analysis of the Impact of Volatility on Hedging Activity and the Correlation of Returns between Markets1997-07-01Financial marketsInterest ratesWorking Paper 1997-18https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp97-18.pdfCanadian Short-Term Interest Rates and the BAX Futures Market: An Analysis of the Impact of Volatility on Hedging Activity and the Correlation of Returns between Markets.David WattJuly 1997EE4E43