Reexamining time-varying bond risk premia in the post-financial crisis era

DOI10.1016/J.JEDC.2019.103777zbMath1425.91418OpenAlexW2979787323MaRDI QIDQ2007866

Han Zhang, Wei Zhang, Bin Guo, Xiaoyun Fan

Publication date: 22 November 2019

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2019.103777

zbMATH Keywords

out-of-sample forecastsaffine model2008 financial crisisbond risk premia predictability

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Time to build and bond risk premia ⋮ Time to build and bond risk premia

Cites Work

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• Approximately normal tests for equal predictive accuracy in nested models
• Asymptotics for out of sample tests of Granger causality
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• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Bond risk premia in consumption‐based models
• Tests of equal forecast accuracy and encompassing for nested models

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