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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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Publication information
Department/Agency
  • Bank of Canada.
TitleEstimating one-factor models of short-term interest rates / by Des McManus and David Watt.
Series title
  • Working paper 1192-5434 99-18
Publication typeMonograph - View Master Record
Language[English]
FormatPhysical text
Other formatsDigital text-[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.
BindingSoftcover
Description36p. : graphs, tables ; 28 cm.
ISBN0-662-28308-2
ISSN1192-5434
Catalogue number
  • FB3-2/99-18E
Subject terms
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