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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| 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 |
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