Canadian 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 / by David G. Watt. : FB3-2/97-18E-PDF

This paper analyses how Canadian financial firms manage short-term interest rate risk through the use of BAX futures contracts.--Abstract

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Publication information
Department/Agency Bank of Canada.
Title Canadian 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 / by David G. Watt.
Series title Bank of Canada working paper1701-939797-18
Publication type Series - View Master Record
Language [English]
Format Electronic
Electronic document
Other formats Paper-[English]
Note(s) "This paper analyses how Canadian financial firms manage short-term interest rate risk through the use of BAX futures contracts."--Abstract.
The ISBN (0-662-26235-2) and ISSN (1192-5434) for the print edition have been incorrectly copied in this electronic publication.
Bibliography.
Résumé en français.
Publishing information Ottawa - Ontario : Bank of Canada July 1997.
Description 45p.graphs, tables
ISSN 1701-9397
Catalogue number
  • FB3-2/97-18E-PDF
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