May 16, 2016
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January 15, 2008
Bank of Canada Review - Winter 2007-2008
Cover page
Roman Antoninianus
The coins form part of the National Currency Collection of the Bank of Canada.
Photography by Gord Carter, Ottawa. -
Affine Term-Structure Models: Theory and Implementation
Affine models describe the stylized time-series properties of the term structure of interest rates in a reasonable manner, they generalize relatively easily to higher dimensions, and a vast academic literature exists relating to their implementation. This combination of characteristics makes the affine class a natural introductory point for modelling interest rate dynamics. -
A Counterfactual Valuation of the Stock Index as a Predictor of Crashes
Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon—instead, I shift focus to severe downside risk (i.e., crashes). -
Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns
Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies.
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