An analytical relationship between basis change autocorrelations and thin trading effects together with partial adjustment factors is developed. Less than full price adjustments are demonstrated to lead to negative autocorrelations in basis innovation series in addition to those induced by thin...

The selection of investments held in dedicated pension or insurance asset portfolios should be liability-driven. Techniques have been developed to hedge or immunize single liabilities from the effects of a variety of yield curve changes. In this paper, we extend these results to a more relevant...