Before coupon bond data can be used to make term structure inferences it must be adjusted to account for the coupon effect. This paper compares the performance of two alternative adjustment methods, namely a duration based adjustment of term and a zero coupon method that adjusts yields. The...

This study uses a unique data set on Australian coupon bonds to test a number of yield curve models. A non-linear least squares technique is employed to directly fit four alternative, zero coupon, forward rate, yield curve models to the data. The four yield curve models tested were two,...

This paper examines the character of profitable arbitrage opportunities existing between the Australian share market and the Sydney Futures Exchange's share price index (SPI) contract. It first looks at the nature of the deviation of SPI futures prices from their theoretical values over the...

An appropriate stochastic model was fitted to one year data on the implied volatility of options on 90 day bank accepted bill futures contracts traded in the Sydney Futures Exchange. The model used was ARIMA augmnented with day of the week variables, an option time to maturity variable, and...