Hybrid securities are becoming an increasingly important component of the capital structure of Australian firms. While displaying characteristics of both debt and equity, one principal equity attribute of hybrids is their ability to pay franked dividends. This enables resident domestic investors...

This paper evaluates the forecasting and finite sample performance of short-term interest rate models in a number of countries. Specifically, we run a series of in-sample and out-of-sample tests for both the conditional mean and volatility of one-factor short rate models, and compare the results...