Estimating one-factor models of short-term interest rates / by Des McManus and David Watt. : FB3-2/99-18E
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. |
|---|---|
| Title | Estimating one-factor models of short-term interest rates / by Des McManus and David Watt. |
| Series title | Working paper1192-543499-18 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Paper |
| Other formats | Electronic-[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. Bibliography. Résumés en français |
| Publishing information | Ottawa - Ontario : Bank of Canada 1999. |
| Binding | Softcover |
| Description | 36p. : graphs, tables ; 28 cm. |
| ISBN | 0-662-28308-2 |
| ISSN | 1192-5434 |
| Catalogue number |
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| Subject terms | Interest rates Models |
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