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| 02136nam##2200361za#4500 |
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001 | 9.614985 |
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003 | CaOODSP |
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005 | 20211126112847 |
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007 | ta |
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008 | 150406|1999||||xxc||||| f|0| 0 eng|d |
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020 | |a0-662-28308-2 |
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022 | |a1192-5434 |
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040 | |aCaOODSP|beng |
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043 | |an-cn--- |
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086 | 1 |aFB3-2/99-18E |
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110 | 2 |aBank of Canada. |
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245 | 10|aEstimating one-factor models of short-term interest rates / |cby Des McManus and David Watt. |
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260 | |aOttawa - Ontario : |bBank of Canada |c1999. |
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300 | |a36p. : |bgraphs, tables ; |c28 cm. |
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490 | 1 |aWorking paper|x1192-5434|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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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 | |aRésumés en français |
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563 | |aSoftcover |
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590 | |a99-48|b1999-12-03 |
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690 | 07|aInterest rates|2gcpds |
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690 | 07|aModels|2gcpds |
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720 | 1 |aMcManus, 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)9.571702 |
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830 | #0|aWorking paper,|x1192-5434|v99-18|w(CaOODSP)9.514622 |
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