Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators (Q5864355)
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scientific article; zbMATH DE number 7537815
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| English | Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators |
scientific article; zbMATH DE number 7537815 |
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Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators (English)
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7 June 2022
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business cycles
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exact factor model
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forecasting bond risk premia
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heteroskedasticity
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inflation measures
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Kalman filter
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macroeconomic variables
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0.83918166
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0.83055526
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0.8302462
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0.8248596
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0.8194313
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0.8173765
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0.8128451
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