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| 02373nam##2200349za#4500 |
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| 001 | 9.571702 |
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| 003 | CaOODSP |
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| 005 | 20211126112845 |
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| 007 | cr ||||||||||| |
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| 008 | 150406|1999||||xxc|||||o f|0| 0 eng|d |
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| 022 | |a1701-9397 |
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| 040 | |aCaOODSP|beng |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-2/99-18E-PDF |
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| 110 | 2 |aBank of Canada. |
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| 245 | 10|aEstimating one-factor models of short-term interest rates / |h[electronic resource]|cby Des Mc Manus and David Watt. |
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| 260 | |aOttawa - Ontario : |bBank of Canada |cNovember 1999. |
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| 300 | |a45p.|bgraphs, tables |
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| 490 | 1 |aBank of Canada working paper|x1701-9397|v99-18 |
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| 500 | |a"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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| 500 | |aThe ISBN (0-662-28308-2) and ISSN (1192-5434) for the print edition have been incorrectly copied in this electronic publication. |
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| 504 | |aBibliography. |
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| 520 | 3 |aThe 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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| 546 | |aRésumé en français. |
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| 590 | |a11-20-Supp|b2011-09-29 |
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| 690 | 07|aInterest rates|2gcpds |
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| 690 | 07|aModels|2gcpds |
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| 720 | 1 |aMc Manus, Des |
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| 720 | 1 |aWatt, David |
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| 776 | 0#|tEstimating one-factor models of short-term interest rates / |w(CaOODSP)9.614985 |
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| 830 | #0|aWorking paper (Bank of Canada)|x1701-9397|v99-18|w(CaOODSP)9.504604 |
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| 856 | 40|ahttp://publications.gc.ca|qPDF|s344 KB|uhttps://publications.gc.ca/collections/Collection/FB3-2-99-18E.pdf|y99-18 |
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