The information content in bond model residuals: an empirical study on the Belgian bond market

Article Abstract:

An analysis on the efficiency of curve fitting models revealed that the Vasicek (1977) model, if used in combination with Cox-Ingersoll-Ross (CIR) model, yields more accurate and substantial trading results. Through the use of three distinct benchmarking alternatives, it was established that abnormal returns show a negative relationship with once- and twice-lagged mispricing. It was also shown that the five-parameter cubic spline model is an inefficient method in determining mispricing because it tends to overfit the data. Significant model residuals are more probably caused by model misspecification or -estimation than small or medium-sized ones.

Securities and Commodity Exchanges, Security and commodity exchanges, Securities Exchanges, Financial Management, Pricing Policy, Models, Analysis, Exchanges, Pricing, Bonds, Bonds (Securities), Credit market, Credit markets, Spline theory

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The forward bias in the ECU: Peso risks vs. fads and fashions

Article Abstract:

Development of empirical model of increase in value of European currencies, based on tests of uncovered interest parity to understand Peso problem, is described.

Product information, Belgium, Hong Kong, Other General Government Support, Coinage & Currency, Usage, Evaluation, Testing, Money, Mathematical models, Volatility

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Cross- and delta-hedges: Regression- versus price-based hedge ratios

Article Abstract:

Cross and delta-hedges are considered with a comparison of regression and price based hedge ratios.

Research, Hedging (Finance)

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