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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Ministère/Organisme | Bank of Canada. |
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Titre | Estimating one-factor models of short-term interest rates / by Des McManus and David Watt. |
Titre de la série | Working paper1192-543499-18 |
Type de publication | Série - Voir l'enregistrement principal |
Langue | [Anglais] |
Format | Papier |
Autres formats offerts | Électronique-[Anglais] |
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 |
Information sur la publication | Ottawa - Ontario : Bank of Canada 1999. |
Reliure | Softcover |
Description | 36p. : graphs, tables ; 28 cm. |
ISBN | 0-662-28308-2 |
ISSN | 1192-5434 |
Numéro de catalogue |
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Descripteurs | Interest rates Models |
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