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David Jamieson Bolder

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. David Bolder & Simon Deeley, 2011. "The Canadian Debt-Strategy Model: An Overview of the Principal Elements," Discussion Papers 11-3, Bank of Canada.

    Cited by:

    1. Christopher Cameron, 2018. "Visualizing Treasury Issuance Strategy," Papers 1802.03376, arXiv.org, revised Feb 2020.
    2. Delorme, Francois, 2014. "Viabilité et vulnérabilité des finances publiques du Québec à moyen terme : une proposition d’un cadre d’analyse et une évaluation [Sustainability and vulnerability of Québec's public finances in t," MPRA Paper 85050, University Library of Munich, Germany.
    3. Pablo Burriel & Javier J. Pérez & Ivan Kataryniuk, 2023. "Computing the EU’s SURE Interest Savings with an Extended Debt Sustainability Analysis Tool," Hacienda Pública Española / Review of Public Economics, IEF, vol. 245(2), pages 157-178, June.
    4. Beatriz González & Enrique Moral-Benito & Isabel Soler, 2022. "Schumpeter meets goldilocks: the scarring effects of firm destruction," Occasional Papers 2216, Banco de España.
    5. Michele Manna & Emmanuela Bernardini & Mauro Bufano & Davide Dottori, 2013. "Modelling public debt strategies," Questioni di Economia e Finanza (Occasional Papers) 199, Bank of Italy, Economic Research and International Relations Area.
    6. Pablo Burriel & Iván Kataryniuk & Javier J. Pérez, 2022. "Computing the eu’s sure interest savings using an extended debt sustainability assessment tool," Occasional Papers 2210, Banco de España.

  2. David Bolder & Tiago Rubin, 2007. "Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis," Staff Working Papers 07-13, Bank of Canada.

    Cited by:

    1. David Bolder & Simon Deeley, 2011. "The Canadian Debt-Strategy Model: An Overview of the Principal Elements," Discussion Papers 11-3, Bank of Canada.
    2. Sephton, Peter S., 2019. "El Niño, La Niña, and a cup of Joe," Energy Economics, Elsevier, vol. 84(C).
    3. Balibek, Emre & Memis, Hamdi Alper, 2012. "Turkish treasury simulation model for debt strategy analysis," Policy Research Working Paper Series 6091, The World Bank.
    4. David Bolder & Yuliya Romanyuk, 2008. "Combining Canadian Interest-Rate Forecasts," Staff Working Papers 08-34, Bank of Canada.
    5. Mr. Udaibir S Das & Miss Yinqiu Lu & Mr. Michael G. Papaioannou & Iva Petrova, 2012. "Sovereign Risk and Asset and Liability Management: Conceptual Issues," IMF Working Papers 2012/241, International Monetary Fund.
    6. Consiglio, Andrea & Zenios, Stavros A., 2014. "Risk Management Optimization for Sovereign Debt Restructuring," Working Papers 14-10, University of Pennsylvania, Wharton School, Weiss Center.
    7. Balibek, Emre & Köksalan, Murat, 2010. "A multi-objective multi-period stochastic programming model for public debt management," European Journal of Operational Research, Elsevier, vol. 205(1), pages 205-217, August.
    8. Serhat Yüksel & Shahriyar Mukhtarov & Ceyhun Mahmudlu & Jeyhun I. Mikayilov & Anar Iskandarov, 2018. "Measuring International Migration in Azerbaijan," Sustainability, MDPI, vol. 10(1), pages 1-15, January.
    9. Cangoz, Mehmet Coskun & Sulla, Olga & Wang, ChunLan & Dychala, Christopher Benjamin, 2019. "A Joint Foreign Currency Risk Management Approach for Sovereign Assets and Liabilities," MPRA Paper 100311, University Library of Munich, Germany.
    10. K. Batu Tunay, 2010. "Banking Crises and Early Warning Systems: A Model Suggestion for Turkish Banking Sector," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 4(1), pages 9-46.
    11. Sephton, Peter & Mann, Janelle, 2018. "Gold and crude oil prices after the great moderation," Energy Economics, Elsevier, vol. 71(C), pages 273-281.
    12. Serhat Yuksel & Sinemis Zengin, 2017. "Influencing Factors of Net Interest Margin in Turkish Banking Sector," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 178-191.
    13. Johannes Holler, 2013. "Funding Strategies of Sovereign Debt Management: A Risk Focus," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 51-74.

  3. David Bolder & Shudan Liu, 2007. "Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective," Staff Working Papers 07-49, Bank of Canada.

    Cited by:

    1. David Bolder & Simon Deeley, 2011. "The Canadian Debt-Strategy Model: An Overview of the Principal Elements," Discussion Papers 11-3, Bank of Canada.
    2. David Bolder & Yuliya Romanyuk, 2008. "Combining Canadian Interest-Rate Forecasts," Staff Working Papers 08-34, Bank of Canada.
    3. Nicole El Karoui & Mohamed Mrad & Caroline Hillairet, 2014. "Ramsey Rule with Progressive utility and Long Term Affine Yields Curves," Post-Print hal-00974831, HAL.
    4. Paul Soderlind, 2009. "Reaction of Swiss Term Premia to Monetary Policy Surprises," University of St. Gallen Department of Economics working paper series 2009 2009-33, Department of Economics, University of St. Gallen.

  4. David Bolder, 2006. "Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective," Staff Working Papers 06-48, Bank of Canada.

    Cited by:

    1. David Bolder & Tiago Rubin, 2007. "Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis," Staff Working Papers 07-13, Bank of Canada.
    2. Lapshin, Victor & Sohatskaya, Sofia, 2020. "Choosing the weighting coefficients for estimating the term structure from sovereign bonds," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 635-648.
    3. Francisco Rivadeneyra & Oumar Dissou, 2011. "A Model of the EFA Liabilities," Discussion Papers 11-11, Bank of Canada.
    4. Felix Geiger, 2009. "International Interest-Rate Risk Premia in Affine Term Structure Models," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 316/2009, Department of Economics, University of Hohenheim, Germany.
    5. David Bolder & Yuliya Romanyuk, 2008. "Combining Canadian Interest-Rate Forecasts," Staff Working Papers 08-34, Bank of Canada.
    6. Daniel Vela, 2013. "Forecasting Latin-American yield curves: An artificial neural network approach," Borradores de Economia 10502, Banco de la Republica.
    7. Michele Manna & Emmanuela Bernardini & Mauro Bufano & Davide Dottori, 2013. "Modelling public debt strategies," Questioni di Economia e Finanza (Occasional Papers) 199, Bank of Italy, Economic Research and International Relations Area.
    8. Daniel Vela, 2013. "Forecasting Latin-American yield curves: An artificial neural network approach," Borradores de Economia 761, Banco de la Republica de Colombia.
    9. Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.

  5. David Bolder & Grahame Johnson & Adam Metzler, 2004. "An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates," Staff Working Papers 04-48, Bank of Canada.

    Cited by:

    1. René Garcia & Richard Luger, 2007. "The Canadian macroeconomy and the yield curve: an equilibrium-based approach," Canadian Journal of Economics, Canadian Economics Association, vol. 40(2), pages 561-583, May.
    2. Melnikov, Alexander & Romaniuk, Yulia, 2006. "Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts," Insurance: Mathematics and Economics, Elsevier, vol. 39(3), pages 310-329, December.
    3. David Bolder & Shudan Liu, 2007. "Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective," Staff Working Papers 07-49, Bank of Canada.
    4. David Bolder & Tiago Rubin, 2007. "Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis," Staff Working Papers 07-13, Bank of Canada.
    5. Kathlyn Lucia & Stephanie Price & Edwin Wong & Richard Startz, 2008. "The Changing Relation Between the Canadian and U.S. Yield Curves," Working Papers UWEC-2008-05, University of Washington, Department of Economics.
    6. Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
    7. Lange, Ronald H., 2014. "The small open macroeconomy and the yield curve: A state-space representation," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 1-21.
    8. Antonio Diez de los Rios, 2013. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Staff Working Papers 13-10, Bank of Canada.
    9. Daniel R. Kowal & David S. Matteson & David Ruppert, 2019. "Functional Autoregression for Sparsely Sampled Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(1), pages 97-109, January.
    10. Martin M. Andreasen & Jens H.E. Christensen & Glenn D. Rudebusch, 2017. "Term Structure Analysis with Big Data," CREATES Research Papers 2017-31, Department of Economics and Business Economics, Aarhus University.
    11. Helyoth Hessou & Van Son Lai, 2017. "Basel III Capital Buffers and Canadian Credit Unions Lending: Impact of The Credit Cycle and The Business Cycle," Working Papers 2017-009, Department of Research, Ipag Business School.
    12. Andreea Oprea, 2022. "The Use of Principal Component Analysis (PCA) in Building Yield Curve Scenarios and Identifying Relative-Value Trading Opportunities on the Romanian Government Bond Market," JRFM, MDPI, vol. 15(6), pages 1-37, May.
    13. Margaux MacDonald & Michal Ksawery Popiel, 2016. "Unconventional Monetary Policy In A Small Open Economy," Working Paper 1367, Economics Department, Queen's University.
    14. Cao, N. & Galvani, V. & Gubellini, S., 2017. "Firm-specific stock and bond predictability: New evidence from Canada," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 174-192.
    15. Jun Yang, 2008. "Macroeconomic Determinants of the Term Structure of Corporate Spreads," Staff Working Papers 08-29, Bank of Canada.
    16. Lange, Ronald H., 2017. "The expected real yield and inflation components of the nominal yield curve," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 1-18.
    17. Lazar Fred & Prisman Eliezer Z., 2012. "Constructing Historical Yield Curves from Very Sparse Spot Rates: A Methodology and Examples from the 1920s Canadian Market," Journal of Business Valuation and Economic Loss Analysis, De Gruyter, vol. 7(1), pages 1-24, May.
    18. Fousseni Chabi-Yo & Jun Yang, 2007. "A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate," Staff Working Papers 07-21, Bank of Canada.
    19. David Bolder, 2006. "Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective," Staff Working Papers 06-48, Bank of Canada.
    20. Andraž, Grum, 2006. "Razvitost slovenskega trga dolžniškega kapitala in ocenitev krivulje donosnosti," MPRA Paper 4876, University Library of Munich, Germany.
    21. Antonio Díaz & Francisco Jareño & Eliseo Navarro, 2020. "Yield curves from different bond data sets," Review of Derivatives Research, Springer, vol. 23(2), pages 191-226, July.
    22. Têtu Alexandre & Lai Van Son & Soumaré Issouf & Gendron Michel, 2015. "Hedging Flood Losses Using Cat Bonds," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 9(2), pages 149-184, July.
    23. Landon, Stuart, 2009. "The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds," MPRA Paper 15467, University Library of Munich, Germany.
    24. Narayan Bulusu & Sermin Gungor, 2018. "Government of Canada Securities in the Cash, Repo and Securities Lending Markets," Discussion Papers 18-4, Bank of Canada.
    25. Díaz, Antonio & Jareño, Francisco & Navarro, Eliseo, 2018. "Zero-coupon interest rates: Evaluating three alternative datasets," Economics Discussion Papers 2018-67, Kiel Institute for the World Economy (IfW Kiel).
    26. Lange, Ronald H., 2013. "The Canadian macroeconomy and the yield curve: A dynamic latent factor approach," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 261-274.
    27. Andreasen, Martin M. & Christensen, Jens H.E. & Rudebusch, Glenn D., 2019. "Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices," Journal of Econometrics, Elsevier, vol. 212(1), pages 26-46.
    28. Brian Barnard, 2019. "Interest Rate Term Structure Decomposition at the Instrument Level," Applied Economics and Finance, Redfame publishing, vol. 6(3), pages 7-27, May.
    29. Brian Barnard, 2019. "Interest Rate Term Structure Decomposition: An Axiomatic," Applied Economics and Finance, Redfame publishing, vol. 6(1), pages 84-96, January.
    30. Lange, Ronald Henry, 2018. "The term structure of liquidity premia and the macroeconomy in Canada: A dynamic latent-factor approach," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 164-182.
    31. Lange, Ronald H., 2015. "International long-term yields and monetary policy in a small open economy: The case of Canada," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 292-310.
    32. Daniel R. Kowal & David S. Matteson & David Ruppert, 2017. "A Bayesian Multivariate Functional Dynamic Linear Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(518), pages 733-744, April.

  6. David Bolder, 2003. "A Stochastic Simulation Framework for the Government of Canada's Debt Strategy," Staff Working Papers 03-10, Bank of Canada.

    Cited by:

    1. David Bolder & Tiago Rubin, 2007. "Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis," Staff Working Papers 07-13, Bank of Canada.
    2. Stavros A. Zenios & Andrea Consiglio & Marialena Athanasopoulou & Edmund Moshammer & Angel Gavilan & Aitor Erce, 2021. "Risk Management for Sustainable Sovereign Debt Financing," Operations Research, INFORMS, vol. 69(3), pages 755-773, May.
    3. Farhan Akbar & Thierry Chauveau, 2009. "An Analysis of Exchange Rate Risk Exposure Related to Public Debt Portfolio of Pakistan: Beyond Delta-Normal VAR Approach," SBP Working Paper Series 30, State Bank of Pakistan, Research Department.
    4. Elisa Faraglia & Albert Marcet & Andrew Scott, 2007. "Fiscal Insurance and Debt Management in OECD Economies," Working Papers 333, Barcelona School of Economics.
    5. Melecky, Martin, 2012. "Formulation of public debt management strategies: An empirical study of possible drivers," Economic Systems, Elsevier, vol. 36(2), pages 218-234.
    6. Martin Melecky, 2012. "Choosing The Currency Structure Of Foreign‐Currency Debt: A Review Of Policy Approaches," Journal of International Development, John Wiley & Sons, Ltd., vol. 24(2), pages 133-151, March.
    7. Christopher Cameron, 2018. "Visualizing Treasury Issuance Strategy," Papers 1802.03376, arXiv.org, revised Feb 2020.
    8. Michele Manna & Emmanuela Bernardini & Mauro Bufano & Davide Dottori, 2013. "Modelling public debt strategies," Questioni di Economia e Finanza (Occasional Papers) 199, Bank of Italy, Economic Research and International Relations Area.
    9. Balibek, Emre & Köksalan, Murat, 2010. "A multi-objective multi-period stochastic programming model for public debt management," European Journal of Operational Research, Elsevier, vol. 205(1), pages 205-217, August.
    10. Michael G. Papaioannou, 2009. "Exchange Rate Risk Measurement and Management: Issues and Approaches for Public Debt Managers," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 7(1), pages 7-34.
    11. Andrea Consiglio & Alessandro Staino, 2012. "A stochastic programming model for the optimal issuance of government bonds," Annals of Operations Research, Springer, vol. 193(1), pages 159-172, March.
    12. Jason Allen & Jakub Kastl & Milena Wittwer, 2020. "Primary Dealers and the Demand for Government Debt," Working Papers 2020-27, Princeton University. Economics Department..
    13. Thordur Jonasson & Mr. Michael G. Papaioannou, 2018. "A Primer on Managing Sovereign Debt-Portfolio Risks," IMF Working Papers 2018/074, International Monetary Fund.
    14. Marialena Athanasopoulou & Andrea Consiglio & Aitor Erce & Angel Gavilan & Edmund Moshammer & Stavros A. Zenios, 2019. "Risk Management for Sovereign Debt Financing with Sustainability Conditions," Globalization Institute Working Papers 367, Federal Reserve Bank of Dallas.
    15. Hans J Blommestein & Anja Hubig, 2012. "Is the standard micro portfolio approach to sovereign debt management still appropriate?," BIS Papers chapters, in: Bank for International Settlements (ed.), Threat of fiscal dominance?, volume 65, pages 141-155, Bank for International Settlements.
    16. Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.
    17. Ruicheng Yang & Li Li & Qi Jiang & Ji Qi, 2022. "Optimal bond issuance with cost and liquidity constraints for Chinese local governments: a multi-period stochastic programming approach," Empirical Economics, Springer, vol. 63(5), pages 2605-2632, November.
    18. Jason Allen & Jakub Kastl & Milena Wittwer, 2020. "Maturity Composition and the Demand for Government Debt," Staff Working Papers 20-29, Bank of Canada.
    19. Johannes Holler, 2013. "Funding Strategies of Sovereign Debt Management: A Risk Focus," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 51-74.
    20. Massimo BERNASCHI & Alessandro MISSALE & Davide VERGNI, 2009. "Should governments minimize debt service cost and risk? A closer look at the debt strategy. Simulation approach," Departmental Working Papers 2009-53, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    21. Baghdassarian, William & Mele, Gianluca & Pradelli, Juan, 2014. "Assessing public debt sustainability in Mauritania with a stochastic framework," Policy Research Working Paper Series 7088, The World Bank.

  7. David Bolder, 2002. "Towards a More Complete Debt Strategy Simulation Framework," Staff Working Papers 02-13, Bank of Canada.

    Cited by:

    1. Balibek, Emre & Memis, Hamdi Alper, 2012. "Turkish treasury simulation model for debt strategy analysis," Policy Research Working Paper Series 6091, The World Bank.

  8. David Bolder & Scott Gusba, 2002. "Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada," Staff Working Papers 02-29, Bank of Canada.

    Cited by:

    1. René Garcia & Richard Luger, 2007. "The Canadian macroeconomy and the yield curve: an equilibrium-based approach," Canadian Journal of Economics, Canadian Economics Association, vol. 40(2), pages 561-583, May.
    2. David Bolder & Shudan Liu, 2007. "Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective," Staff Working Papers 07-49, Bank of Canada.
    3. Kathlyn Lucia & Stephanie Price & Edwin Wong & Richard Startz, 2008. "The Changing Relation Between the Canadian and U.S. Yield Curves," Working Papers UWEC-2008-05, University of Washington, Department of Economics.
    4. C. Emre Alper & Aras Akdemir & Kazim Kazimov, 2004. "Estimating the Term Structure of Government Securities in Turkey," Working Papers 2004/03, Bogazici University, Department of Economics.
    5. Manousopoulos, Polychronis & Michalopoulos, Michalis, 2009. "Comparison of non-linear optimization algorithms for yield curve estimation," European Journal of Operational Research, Elsevier, vol. 192(2), pages 594-602, January.
    6. Hana Hladíková & Jarmila Radová, 2012. "Term Structure Modelling by Using Nelson-Siegel Model," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2012(2), pages 36-55.
    7. David Bolder, 2003. "A Stochastic Simulation Framework for the Government of Canada's Debt Strategy," Staff Working Papers 03-10, Bank of Canada.
    8. David Bolder & Yuliya Romanyuk, 2008. "Combining Canadian Interest-Rate Forecasts," Staff Working Papers 08-34, Bank of Canada.
    9. Richard Finlay & David Olivan, 2012. "Extracting Information from Financial Market Instruments," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 45-54, March.
    10. Ian Christensen & Frédéric Dion & Christopher Reid, 2004. "Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate," Staff Working Papers 04-43, Bank of Canada.
    11. Daniel Vela, 2013. "Forecasting Latin-American yield curves: An artificial neural network approach," Borradores de Economia 10502, Banco de la Republica.
    12. David Bolder & Grahame Johnson & Adam Metzler, 2004. "An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates," Staff Working Papers 04-48, Bank of Canada.
    13. Ganchev, Alexander, 2009. "Modeling the yield curve of spot interest rates under the conditions in Bulgaria," MPRA Paper 70048, University Library of Munich, Germany.
    14. Marcello Pericoli, 2012. "Real term structure and inflation compensation in the euro area," Temi di discussione (Economic working papers) 841, Bank of Italy, Economic Research and International Relations Area.
    15. A. Onatski & V. Karguine, 2005. "Curve Forecasting by Functional Autoregression," Computing in Economics and Finance 2005 59, Society for Computational Economics.
    16. Daniel Vela, 2013. "Forecasting Latin-American yield curves: An artificial neural network approach," Borradores de Economia 761, Banco de la Republica de Colombia.
    17. David Bolder, 2006. "Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective," Staff Working Papers 06-48, Bank of Canada.
    18. Yallup, Peter J., 2012. "Models of the yield curve and the curvature of the implied forward rate function," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 121-135.
    19. Jean‐Sébastien Fontaine & Guillaume Nolin, 2019. "Measuring Limits Of Arbitrage In Fixed‐Income Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 42(3), pages 525-552, September.
    20. Ejsing, Jacob & Grothe, Magdalena & Grothe, Oliver, 2012. "Liquidity and credit risk premia in government bond yields," Working Paper Series 1440, European Central Bank.
    21. Grum, Andraž, 2006. "The effect of parallel OTC-DVP bond market introduction on yield curve volatility," MPRA Paper 4950, University Library of Munich, Germany.
    22. Nymand-Andersen, Per, 2018. "Yield curve modelling and a conceptual framework for estimating yield curves: evidence from the European Central Bank’s yield curves," Statistics Paper Series 27, European Central Bank.
    23. Andraz Grum, 2007. "Lessons from Nominal Convergence in Slovenia," Post-Communist Economies, Taylor & Francis Journals, vol. 19(2), pages 255-262.
    24. Victor Curtis Lartey & Yao Li, 2018. "Zero-Coupon and Forward Yield Curves for Government of Ghana Bonds," SAGE Open, , vol. 8(3), pages 21582440188, September.
    25. Ejsing, Jacob & Grothe, Magdalena & Grothe, Oliver, 2015. "Liquidity and credit premia in the yields of highly-rated sovereign bonds," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 160-173.
    26. Antonio Díaz & Francisco Jareño & Eliseo Navarro, 2020. "Yield curves from different bond data sets," Review of Derivatives Research, Springer, vol. 23(2), pages 191-226, July.
    27. Díaz, Antonio & Jareño, Francisco & Navarro, Eliseo, 2018. "Zero-coupon interest rates: Evaluating three alternative datasets," Economics Discussion Papers 2018-67, Kiel Institute for the World Economy (IfW Kiel).
    28. Lange, Ronald H., 2013. "The Canadian macroeconomy and the yield curve: A dynamic latent factor approach," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 261-274.
    29. Richard Finlay & Mark Chambers, 2009. "A Term Structure Decomposition of the Australian Yield Curve," The Economic Record, The Economic Society of Australia, vol. 85(271), pages 383-400, December.
    30. Brian Barnard, 2019. "Interest Rate Term Structure Decomposition at the Instrument Level," Applied Economics and Finance, Redfame publishing, vol. 6(3), pages 7-27, May.
    31. Brian Barnard, 2019. "Interest Rate Term Structure Decomposition: An Axiomatic," Applied Economics and Finance, Redfame publishing, vol. 6(1), pages 84-96, January.
    32. Polychronis Manousopoulos & Michalis Michalopoulos, 2015. "Term structure of interest rates estimation using rational Chebyshev functions," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(2), pages 119-146, October.
    33. Hans-Jürg Büttler, 2007. "An Orthogonal Polynomial Approach to Estimate the Term Structure of Interest Rates," Working Papers 2007-08, Swiss National Bank.

  9. David Bolder, 2001. "Affine Term-Structure Models: Theory and Implementation," Staff Working Papers 01-15, Bank of Canada.

    Cited by:

    1. David Bolder & Simon Deeley, 2011. "The Canadian Debt-Strategy Model: An Overview of the Principal Elements," Discussion Papers 11-3, Bank of Canada.
    2. David Bolder & Shudan Liu, 2007. "Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective," Staff Working Papers 07-49, Bank of Canada.
    3. David Bolder & Tiago Rubin, 2007. "Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis," Staff Working Papers 07-13, Bank of Canada.
    4. Chadha, Jagjit S. & Waters, Alex, 2014. "Applying a macro-finance yield curve to UK quantitative Easing," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 68-86.
    5. Mordecki, Ernesto & Rodríguez, Andrés Sosa, 2021. "Country risk for emerging economies: a dynamical index proposal with a case study," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 40(2), April.
    6. Ben S. Bernanke & Vincent Reinhart & Brian P. Sack, 2004. "Monetary policy alternatives at the zero bound: an empirical assessment," Finance and Economics Discussion Series 2004-48, Board of Governors of the Federal Reserve System (U.S.).
    7. Alessia Paccagnini, 2016. "The Macroeconomic Determinants of the US Term-Structure During The Great Moderation," Open Access publications 10197/7324, School of Economics, University College Dublin.
    8. Bellini, Tiziano & Riani, Marco, 2012. "Robust analysis of default intensity," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3276-3285.
    9. Elias, Nikolaos & Smyrnakis, Dimitris & Tzavalis, Elias, 2022. "Predicting future exchange rate changes based on interest rates and holding-period returns differentials net of the forward risk premium effects," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 694-715.
    10. Sophocles N. Brissimis & Evangelia A. Georgiou, 2022. "The effects of Federal Reserve's quantitative easing and balance sheet normalization policies on long-term interest rates," Working Papers 299, Bank of Greece.
    11. Sanford, Andrew D. & Martin, Gael M., 2005. "Simulation-based Bayesian estimation of an affine term structure model," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 527-554, April.
    12. David Bolder, 2003. "A Stochastic Simulation Framework for the Government of Canada's Debt Strategy," Staff Working Papers 03-10, Bank of Canada.
    13. Daniela Neykova & Marcos Escobar & Rudi Zagst, 2015. "Optimal investment in multidimensional Markov-modulated affine models," Annals of Finance, Springer, vol. 11(3), pages 503-530, November.
    14. Somvang PHIMMAVONG & Ian FERGUSON & Barbara OZARSKA, 2010. "Economy-Wide Impact of Forest Plantation Development in Laos Using a Dynamic General Equilibrium Approach," EcoMod2010 259600131, EcoMod.
    15. Andre Lucas & Bastiaan Verhoef, 2012. "Aggregating Credit and Market Risk: The Impact of Model Specification," Tinbergen Institute Discussion Papers 12-057/2/DSF36, Tinbergen Institute.
    16. Fendel, Ralf, 2008. "A Joint Characterization of German Monetary Policy and the Dynamics of the German Term Structure of Interest Rates," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 4(1-2), pages 1-19.
    17. Januj Amar Juneja, 2022. "A Computational Analysis of the Tradeoff in the Estimation of Different State Space Specifications of Continuous Time Affine Term Structure Models," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 173-220, June.
    18. Chiara PERONI, 2010. "Testing Linearity in Term Structures," EcoMod2010 259600130, EcoMod.
    19. Guillermo Andrés Cangrejo Jiménez, 2014. "La Estructura a Plazos del Riesgo Interbancario," Documentos de Trabajo 12172, Universidad del Rosario.
    20. Yang Chang & Michael Sherris, 2018. "Longevity Risk Management and the Development of a Value-Based Longevity Index," Risks, MDPI, vol. 6(1), pages 1-20, February.
    21. Argyropoulos, Efthymios & Tzavalis, Elias, 2015. "Real term structure forecasts of consumption growth," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 208-222.
    22. Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.
    23. Zbynek Stork, 2016. "Term Structure of Interest Rates: Macro-Finance Approach," EcoMod2016 9566, EcoMod.
    24. Berg, Tobias, 2010. "The term structure of risk premia: new evidence from the financial crisis," Working Paper Series 1165, European Central Bank.
    25. Gary Venter & Kailan Shang, 2019. "Building and Testing Yield Curve Generators for P&C Insurance," Papers 1912.10526, arXiv.org.
    26. Georgina Onuma Kalu & Chinemerem Dennis Ikpe & Benjamin Ifeanyichukwu Oruh & Samuel Asante Gyamerah, 2020. "State Space Vasicek Model of a Longevity Bond," Papers 2011.12753, arXiv.org.
    27. Fendel, Ralf, 2004. "Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates," Discussion Paper Series 1: Economic Studies 2004,24, Deutsche Bundesbank.
    28. Juneja, Januj, 2014. "Term structure estimation in the presence of autocorrelation," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 119-129.
    29. Robert Jarrow & Hao Li, 2014. "The impact of quantitative easing on the US term structure of interest rates," Review of Derivatives Research, Springer, vol. 17(3), pages 287-321, October.
    30. Argyropoulos, Efthymios & Tzavalis, Elias, 2021. "The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 785-796.

  10. David Bolder & David Stréliski, 1999. "Yield Curve Modelling at the Bank of Canada," Technical Reports 84, Bank of Canada.

    Cited by:

    1. Liuren Wu & Frank X. Zhang, 2005. "A no-arbitrage analysis of economic determinants of the credit spread term structure," Finance and Economics Discussion Series 2005-59, Board of Governors of the Federal Reserve System (U.S.).
    2. Bystrom, Hans & Kwon, Oh Kang, 2007. "A simple continuous measure of credit risk," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 508-523.
    3. van Landschoot, A., 2003. "The Term Structure of Credit Spreads on Euro Corporate Bonds," Discussion Paper 2003-046, Tilburg University, Center for Economic Research.
    4. Jelena Zubkova, 2003. "Interest Rate Term Structure in Latvia in the Monetary Policy Context," Working Papers 2003/03, Latvijas Banka.
    5. Junbo Wang & Chunchi Wu & Frank X. Zhang, 2005. "Liquidity, default, taxes and yields on municipal bonds," Finance and Economics Discussion Series 2005-35, Board of Governors of the Federal Reserve System (U.S.).
    6. David Bolder & Scott Gusba, 2002. "Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada," Staff Working Papers 02-29, Bank of Canada.
    7. David Bolder & Shudan Liu, 2007. "Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective," Staff Working Papers 07-49, Bank of Canada.
    8. David Bolder & Tiago Rubin, 2007. "Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis," Staff Working Papers 07-13, Bank of Canada.
    9. David Bolder, 2001. "Affine Term-Structure Models: Theory and Implementation," Staff Working Papers 01-15, Bank of Canada.
    10. Florent Kanga GBONGUE & Lambert N’Galadjo BAMBA, 2023. "Le modèle hybride de la structure par terme des primes souveraines de crédit et de liquidité dans la zone UEMOA," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 57, pages 101-145.
    11. Van Landschoot, Astrid, 2004. "Determinants of euro term structure of credit spreads," Working Paper Series 397, European Central Bank.
    12. Manousopoulos, Polychronis & Michalopoulos, Michalis, 2009. "Comparison of non-linear optimization algorithms for yield curve estimation," European Journal of Operational Research, Elsevier, vol. 192(2), pages 594-602, January.
    13. Gangadhar Darbha & Sudipta Dutta Roy & Vardhana Pawaskar, 2002. "Idiosyncratic Factors in Pricing Sovereign Bonds: An Analysis of the Government of India Bond Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 1(2), pages 157-181, September.
    14. Patrick Luennemann & Dirk Mevis, 2008. "Eurosystem communication and financial market expectations," BCL working papers 30, Central Bank of Luxembourg.
    15. van Landschoot, A., 2003. "The Term Structure of Credit Spreads on Euro Corporate Bonds," Other publications TiSEM f5164bb2-6597-48c4-8b44-d, Tilburg University, School of Economics and Management.
    16. Wayne Passmore, 2003. "The GSE implicit subsidy and value of government ambiguity," Finance and Economics Discussion Series 2003-64, Board of Governors of the Federal Reserve System (U.S.).
    17. Gimeno, Ricardo & Nave, Juan M., 2009. "A genetic algorithm estimation of the term structure of interest rates," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2236-2250, April.
    18. Richard Finlay & David Olivan, 2012. "Extracting Information from Financial Market Instruments," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 45-54, March.
    19. William T. Lin & David S. Sun, 2007. "Liquidity-Adjusted Benchmark Yield Curves: A Look at Trading Concentration and Information," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 10(04), pages 491-518.
    20. Jorge Miguel Ventura Bravo & Carlos Manuel Pereira da Silva, 2005. "Immunization Using a Parametric Model of the Term Structure," Economics Working Papers 19_2005, University of Évora, Department of Economics (Portugal).
    21. Marcello Pericoli, 2012. "Real term structure and inflation compensation in the euro area," Temi di discussione (Economic working papers) 841, Bank of Italy, Economic Research and International Relations Area.
    22. Wang, Junbo & Wu, Chunchi & Zhang, Frank X., 2008. "Liquidity, default, taxes, and yields on municipal bonds," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1133-1149, June.
    23. Lazar Fred & Prisman Eliezer Z., 2012. "Constructing Historical Yield Curves from Very Sparse Spot Rates: A Methodology and Examples from the 1920s Canadian Market," Journal of Business Valuation and Economic Loss Analysis, De Gruyter, vol. 7(1), pages 1-24, May.
    24. Jiří Málek & Jarmila Radová & Filip Štěrba, 2007. "Konstrukce výnosové křivky pomocí vládních dluhopisů v České republice [Vield curve construction using government bonds in the Czech republic]," Politická ekonomie, Prague University of Economics and Business, vol. 2007(6), pages 792-808.
    25. Paul A. Bekker & Kees E. Bouwman, 2009. "Arbitrage Smoothing In Fitting A Sequence Of Yield Curves," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(05), pages 577-588.
    26. Andres Quiros-Granados & JAvier Trejos-Zelaya, 2019. "Estimation of the yield curve for Costa Rica using combinatorial optimization metaheuristics applied to nonlinear regression," Papers 2001.00920, arXiv.org.
    27. David Bolder, 2006. "Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective," Staff Working Papers 06-48, Bank of Canada.
    28. Bekker, Paul A., 2017. "Interpretable Parsimonious Arbitrage-free Modeling of the Yield Curve," Research Report 17009-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    29. Giulio Tarditi, 2011. "Affine Term Structure Constraints on Euribor data," Department of Economics University of Siena 613, Department of Economics, University of Siena.
    30. Ejsing, Jacob & Grothe, Magdalena & Grothe, Oliver, 2012. "Liquidity and credit risk premia in government bond yields," Working Paper Series 1440, European Central Bank.
    31. Lauren Stagnol, 2017. "Introducing global term structure in a risk parity framework," Working Papers hal-04141648, HAL.
    32. Victor Curtis Lartey & Yao Li & Hannah Darkoa Lartey & Eric Kofi Boadi, 2019. "Zero-Coupon, Forward, and Par Yield Curves for the Nigerian Bond Market," SAGE Open, , vol. 9(4), pages 21582440198, October.
    33. Nymand-Andersen, Per, 2018. "Yield curve modelling and a conceptual framework for estimating yield curves: evidence from the European Central Bank’s yield curves," Statistics Paper Series 27, European Central Bank.
    34. Gillian Burgess & Wayne Passmore & Shane M. Sherlund, 2005. "The effect of housing government-sponsored enterprises on mortgage rates," Finance and Economics Discussion Series 2005-06, Board of Governors of the Federal Reserve System (U.S.).
    35. Ranik Raaen Wahlstrøm & Florentina Paraschiv & Michael Schürle, 2022. "A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 967-1004, March.
    36. Aryo Sasongko & Cynthia Afriani Utama & Buddi Wibowo & Zaäfri Ananto Husodo, 2019. "Modifying Hybrid Optimisation Algorithms to Construct Spot Term Structure of Interest Rates and Proposing a Standardised Assessment," Computational Economics, Springer;Society for Computational Economics, vol. 54(3), pages 957-1003, October.
    37. Astrid Van Landschoot, 2004. "Determinants of Euro Term Structure of Credit Spreads," Working Paper Research 57, National Bank of Belgium.
    38. Victor Curtis Lartey & Yao Li, 2018. "Zero-Coupon and Forward Yield Curves for Government of Ghana Bonds," SAGE Open, , vol. 8(3), pages 21582440188, September.
    39. Lauren Stagnol, 2019. "Extracting global factors from local yield curves," Journal of Asset Management, Palgrave Macmillan, vol. 20(5), pages 341-350, September.
    40. Díaz, Antonio & Jareño, Francisco & Navarro, Eliseo, 2018. "Zero-coupon interest rates: Evaluating three alternative datasets," Economics Discussion Papers 2018-67, Kiel Institute for the World Economy (IfW Kiel).
    41. William Lin & Shih-Chuan Tsai & David Sun, 2011. "Price informativeness and predictability: how liquidity can help," Applied Economics, Taylor & Francis Journals, vol. 43(17), pages 2199-2217.
    42. Emrah Ahi & Vedat Akgiray & Emrah Sener, 2018. "Robust term structure estimation in developed and emerging markets," Annals of Operations Research, Springer, vol. 260(1), pages 23-49, January.
    43. Maciel, Leandro & Gomide, Fernando & Ballini, Rosangela, 2016. "A differential evolution algorithm for yield curve estimation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 129(C), pages 10-30.
    44. Julián Andrada-Félix & Adrian Fernandez-Perez & Fernando Fernández-Rodríguez, 2015. "Fixed income strategies based on the prediction of parameters in the NS model for the Spanish public debt market," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 6(2), pages 207-245, June.
    45. Goutam Dutta & Sankarshan Basu & Krishnamurthy Vaidyanathan, 2005. "Term Structure Estimation in Illiquid Government Bond Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 4(1), pages 63-80, April.
    46. Michiel De Pooter, 2007. "Examining the Nelson-Siegel Class of Term Structure Models," Tinbergen Institute Discussion Papers 07-043/4, Tinbergen Institute.
    47. Gauthier, Geneviève & Simonato, Jean-Guy, 2012. "Linearized Nelson–Siegel and Svensson models for the estimation of spot interest rates," European Journal of Operational Research, Elsevier, vol. 219(2), pages 442-451.

  11. David Bolder & Serge Boisvert, 1998. "Easing Restrictions on the Stripping and Reconstitution of Government of Canada Bonds," Staff Working Papers 98-8, Bank of Canada.

    Cited by:

    1. David Bolder & David Stréliski, 1999. "Yield Curve Modelling at the Bank of Canada," Technical Reports 84, Bank of Canada.

Articles

  1. David Bolder, 2008. "The Canadian Debt-Strategy Model," Bank of Canada Review, Bank of Canada, vol. 2008(Summer), pages 5-18.

    Cited by:

    1. Paul Glasserman & Amit Sirohi & Allen Zhang, 2017. "The effect of “regular and predictable” issuance on Treasury bill financing," Economic Policy Review, Federal Reserve Bank of New York, issue 23-1, pages 43-56.
    2. Celestino Girón & Marta Morano & Enrique M. Quilis & Daniel Santabárbara & Carlos Torregrosa, 2016. "Modelling interest payments for macroeconomic assessment," Working Papers 1612, Banco de España.
    3. Davide Dottori & Michele Manna, 2015. "Strategy and tactics in public debt management," Temi di discussione (Economic working papers) 1005, Bank of Italy, Economic Research and International Relations Area.
    4. Corey Garriott & Sophie Lefebvre & Guillaume Nolin & Francisco Rivadeneyra & Adrian Walton, 2020. "Alternative futures for Government of Canada debt management," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 12(4), pages 659-685, January.
    5. Michele Manna & Emmanuela Bernardini & Mauro Bufano & Davide Dottori, 2013. "Modelling public debt strategies," Questioni di Economia e Finanza (Occasional Papers) 199, Bank of Italy, Economic Research and International Relations Area.
    6. Andrea Consiglio & Alessandro Staino, 2012. "A stochastic programming model for the optimal issuance of government bonds," Annals of Operations Research, Springer, vol. 193(1), pages 159-172, March.
    7. Baghdassarian, William & Mele, Gianluca & Pradelli, Juan, 2014. "Assessing public debt sustainability in Mauritania with a stochastic framework," Policy Research Working Paper Series 7088, The World Bank.

Chapters

    Sorry, no citations of chapters recorded.

Books

  1. David Jamieson Bolder, 2015. "Fixed-Income Portfolio Analytics," Springer Books, Springer, edition 127, number 978-3-319-12667-8, January.

    Cited by:

    1. Victor Curtis Lartey & Yao Li & Hannah Darkoa Lartey & Eric Kofi Boadi, 2019. "Zero-Coupon, Forward, and Par Yield Curves for the Nigerian Bond Market," SAGE Open, , vol. 9(4), pages 21582440198, October.
    2. Victor Curtis Lartey & Yao Li, 2018. "Zero-Coupon and Forward Yield Curves for Government of Ghana Bonds," SAGE Open, , vol. 8(3), pages 21582440188, September.

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