00000nam##2200000za#4500 9.614985 CaOODSP 20211126112847 ta 150406|1999||||xxc||||| f|0| 0 eng|d 0-662-28308-2 1192-5434 CaOODSP eng n-cn--- FB3-2/99-18E Bank of Canada. Estimating one-factor models of short-term interest rates / by Des McManus and David Watt. Ottawa - Ontario : Bank of Canada 1999. 36p. : graphs, tables ; 28 cm. Working paper 1192-5434 99-18 "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. 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 Résumés en français Softcover 99-48 1999-12-03 Interest rates gcpds Models gcpds McManus, Des Watt, David Estimating one-factor models of short-term interest rates / (CaOODSP)9.571702 Working paper, 1192-5434 99-18 (CaOODSP)9.514622