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
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. |
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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 | Working paper1192-543497-18 |
Publication type | Series - View Master Record |
Language | [English] |
Format | Paper |
Other formats | Electronic-[English] |
Note(s) | "This paper analyses how Canadian financial firms manage short-term interest rate risk through the use of BAX futures contracts."--Abstract. Résumés en français |
Publishing information | Ottawa - Ontario : Bank of Canada 1997. |
Binding | Softcover |
Description | 36p. : graphs, references, tables ; 28 cm. |
ISBN | 0-662-26235-2 |
ISSN | 1192-5434 |
Catalogue number |
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