Augmented factor models with applications to validating market risk factors and forecasting bond risk premia (Q2658786)
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scientific article; zbMATH DE number 7327195
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| default for all languages | No label defined |
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| English | Augmented factor models with applications to validating market risk factors and forecasting bond risk premia |
scientific article; zbMATH DE number 7327195 |
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Augmented factor models with applications to validating market risk factors and forecasting bond risk premia (English)
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24 March 2021
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heavy tails
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forecasts
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principal components
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identification
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0.7371714115142822
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0.7309015393257141
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0.719588577747345
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0.7192591428756714
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0.7087275385856628
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