Bond risk premia and the return forecasting factor
نویسندگان
چکیده
منابع مشابه
Forecasting Government Bond Risk Premia Using Technical Indicators
While economic variables have been used extensively to forecast the U.S. bond risk premia, little attention has been paid to the use of technical indicators which are widely employed by practitioners. In this paper, we fill this gap by studying the predictive ability of using a variety of technical indicators vis-á-vis the economic variables. We find that the technical indicators have significa...
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متن کاملRobust Bond Risk Premia
Recent studies appear to have found evidence that information not reflected in the yield curve helps predict interest rates and excess bond returns. These studies reject the Markov property of the yield curve and conclude that there is unspanned or hidden information that should be used in forecasting. We revisit the evidence of these papers using novel econometric techniques that address the d...
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ژورنال
عنوان ژورنال: Studies in Nonlinear Dynamics & Econometrics
سال: 2019
ISSN: 1558-3708,1081-1826
DOI: 10.1515/snde-2018-0009