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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| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | Estimating one-factor models of short-term interest rates / by Des Mc Manus and David Watt. |
| Titre de la série | Bank of Canada working paper1701-939799-18 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Autres formats offerts | Papier-[Anglais] |
| 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. |
| Information sur la publication | Ottawa - Ontario : Bank of Canada November 1999. |
| Description | 45p.graphs, tables |
| ISSN | 1701-9397 |
| Numéro de catalogue |
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| Descripteurs | Interest rates Models |
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