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486 Results

An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate

Staff Working Paper 2005-45 Ingrid Lo
The author compares the performance of three Gaussian approximation methods - by Nowman (1997), Shoji and Ozaki (1998), and Yu and Phillips (2001) - in estimating a model of the nonlinear continuous-time short-term interest rate.
Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C1, E, E4

An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates

Staff Working Paper 2004-48 David Bolder, Adam Metzler, Grahame Johnson
Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics.

Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate

Staff Working Paper 2004-43 Ian Christensen, Christopher Reid, Frédéric Dion
According to the Fisher hypothesis, the gap between Canadian nominal and Real Return Bond yields (or break-even inflation rate) should be a good measure of inflation expectations.
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