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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Department/Agency | Bank of Canada. |
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Title | Estimating one-factor models of short-term interest rates / by Des Mc Manus and David Watt. |
Series title | Bank of Canada working paper1701-939799-18 |
Publication type | Series - View Master Record |
Language | [English] |
Format | Electronic |
Electronic document | |
Other formats | Paper-[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. |
Description | 45p.graphs, tables |
ISSN | 1701-9397 |
Catalogue number |
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Subject terms | Interest rates Models |
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