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Estimating one-factor models of short-term interest rates / by Des Mc Manus and David Watt.: FB3-2/99-18E-PDF

The main goal of this paper is to determine if Canadian short-term interest rates can be adequately modelled using a one-factor model. For comparative purposes, the appropriateness of one-factor models for the U.S. short-term interest rate is also investigated. Attention is focused on the class of one-factor models proposed by CKLS (Chan, Karolyi, Longstaff, and Sanders (1992)) that includes a wide range of notable one-factor models, though the class does not encompass all possible one-factor models.--Page 2

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Publication information
Department/Agency
  • Bank of Canada.
TitleEstimating one-factor models of short-term interest rates / by Des Mc Manus and David Watt.
Series title
  • Bank of Canada working paper 1701-9397 99-18
Publication typeMonograph - View Master Record
Language[English]
FormatDigital text
Electronic document
Other formatsPhysical text-[English]
Note(s)
  • "The main goal of this paper is to determine if Canadian short-term interest rates can be adequately modelled using a one-factor model. For comparative purposes, the appropriateness of one-factor models for the U.S. short-term interest rate is also investigated. Attention is focused on the class of one-factor models proposed by CKLS (Chan, Karolyi, Longstaff, and Sanders (1992)) that includes a wide range of notable one-factor models, though the class does not encompass all possible one-factor models."--Page 2.
  • The ISBN (0-662-28308-2) 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 November 1999.
Description45p.graphs, tables
ISSN1701-9397
Catalogue number
  • FB3-2/99-18E-PDF
Subject terms
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