Maxim Ralchenko

Technical reports

Historical Data on Repurchase Agreements from the Canadian Depository for Securities

Technical Report No. 121 Maxim Ralchenko, Adrian Walton
We develop an algorithm that extracts information about sale and repurchase agreements (repos) from disaggregated settlement data in order to generate a new historical dataset for research.
Content Type(s): Staff research, Technical reports Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C5, C55, C8, C81, G, G1, G10

See More