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An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates · Study

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PreprintAn Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates

David Jamieson Bolder2008

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Preprintgreen2008

An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates

David Jamieson Bolder · Grahame Johnson · Adam Metzler

61 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Credit Risk and Financial Regulations

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References

1987Parsimonious Modeling of Yield Curves 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 2003Forecasting the Term Structure of Government Bond Yields 1991Common Factors Affecting Bond Returns 1994Explorations Into Factors Explaining Money Market Returns 1992Key Rate Durations 1996A New Tool for Portfolio Managers 1996Immunization Using Principal Component Analysis

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2019Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices 2012The Canadian macroeconomy and the yield curve: A dynamic latent factor approach 2007The Canadian macroeconomy and the yield curve: an equilibrium‐based approach 2017Unconventional Monetary Policy in a Small Open Economy

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Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations61

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1082833

openalex_workW1501166089

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