Estimating one-factor models of short-term interest rates / by Des Mc Manus and David Watt.  : FB3-2/99-18E-PDF

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.
Titre Estimating one-factor models of short-term interest rates / by Des Mc Manus and David Watt.
Titre de la série Bank of Canada working paper1701-939799-18
Type de publication Série - Voir l'enregistrement principal
Langue [Anglais]
Format Électronique
Document électronique
Autres formats offerts Papier-[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.
The ISBN (0-662-28308-2) and ISSN (1192-5434) for the print edition have been incorrectly copied in this electronic publication.
Bibliography.
Résumé en français.
Information sur la publication Ottawa - Ontario : Bank of Canada November 1999.
Description 45p.graphs, tables
ISSN 1701-9397
Numéro de catalogue
  • FB3-2/99-18E-PDF
Descripteurs Interest rates
Models
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