The paper examines the estimation of alternative interest rate processes describing the dynamics of UK interest rates. The methodology concentrates on selecting non-parametrically the number of autocovariances to use in calculating a heteroscedasticity and autocorrelation consistent covariance...

We examine Treasury bond and stock index futures, the swap curve and two types of hypothetical corporate bond assets as alternative hedging instruments for portfolios of corporate bonds. Conducting "ex post" and "ex ante" tests we find evidence that credit quality and maturity are important...

We argue that the appropriate discount rate used to report defined benefit pension plan liabilities in the financial statements is a yield derived from an estimate of a double A corporate yield curve. We show that parsimonious yield curve techniques are easily applicable to the sterling double A...