Conditional funding costs of inflation-indexed and conventional government bonds

Article Abstract:

The risk premiums of nominal and real bonds are studied by employing the predictability of monthly excess returns of the U.K. conventional and index-linked gilts. Membership in the exchange rate mechanism does not significantly change the risk compensation of conventional and indexed gilts.

Analysis, Inflation (Finance), Government securities, Inflation (Economics)

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Trading Intensity, Volatility, and Arbitrage Activity

Article Abstract:

The various duration models capable of modeling instantaneous conditional return volatility are described. The results show that the non-linear autoregressive conditional duration (ACD) models provide more accurate forecasts of transaction duration than the conventional linear ACD models.

Autoregression (Statistics)

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A note on the importance of overnight information in risk management models

Article Abstract:

The economic value of information revealed by financial markets that carry out overnight trading to risk managers and the their impact on securities trading are analyzed.

General services, Economic aspects, Financial services industry, Company systems management, Information management, Financial markets, Information services, Financial information services, Securities trading

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