The trading profitability of forecasts of the gilt-equity yield ratio

Article Abstract:

Further research findings on the Gilt-Equity Yield Ratio currently used to predict the likely direction of future equity or bond trends, reveal that a regime switching model can be employed to yield better returns.

Securities & Commodities Exchanges, Sales, profits & dividends, Earnings per share, Bond funds

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A trading strategy based on the lead-lag relationship between the spot index and futures contract for the FTSE 100

Article Abstract:

Using the cost of carry error correction model in predictive ability, and adjusting for the theoretical difference between them according to the relevant cost, lead-lag changes in the futures price can help predict corresponding changes in the spot price.

Securities Exchanges, Analysis, Prices and rates, Stock-exchange, Stock exchanges, Futures market, Futures markets, Securities listing, Futures

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Benchmarks and the accuracy of GARCH model estimation

Article Abstract:

Five software packages in the generalised autoregressive conditionally heteroscedastic (GARCH) class model used for estimating accuracy against a standard, are reviewed. The reviewers found the software packages have not kept up with the increasingly sophisticated econometric models in determining accuracy.

Prepackaged software, Software Publishers, Financial, Acctg Software Pkgs (Micro), Standards, Evaluation, Computer software industry, Software industry, Product development, Computer programming, Financial software

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