Yield curve modelling at the Bank of Canada / by David Bolder and David Stréliski.: FB3-1/84E-PDF
The primary objective of this paper is to produce a framework that could be used to construct a historical data base of zero-coupon and forward yield curves estimated from Government of Canada securities' prices. The secondary objective is to better understand the behaviour of a class of parametric yield curve models, specifically, the Nelson-Siegel and the Svensson methodologies.--Abstract
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publications.gc.ca/pub?id=9.564429&sl=0
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| Title | Yield curve modelling at the Bank of Canada / by David Bolder and David Stréliski. |
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| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
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| Other formats | Physical text-[English] |
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| Description | 69p.figs., graphs, references, tables |
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