The evaluation of the Canadian BAX contract in managing short-term interest rate exposure
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References listed on IDEAS
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
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KeywordsFutures markets; Hedging; Interest rates; Liquidity; Canada; Banking;
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