Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators

DOI10.1080/07474938.2013.833809MaRDI QIDQ5864355zbMATH OpenOpenAlexFDO

Authors Francesco Audrino, Fulvio Corsi, Kameliya Filipova

Publication date 7 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://openaccess.city.ac.uk/id/eprint/4429/1/AudrinoCorsiKamliya_BondRiskPremia_sub2012.pdf

zbMATH Keywords

Kalman filterheteroskedasticitybusiness cyclesmacroeconomic variablesexact factor modelforecasting bond risk premiainflation measures

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Recommendations

• Bond risk premia and the return forecasting factor
• Multi-level factor analysis of bond risk premia
• Bond risk premia in consumption-based models
• From bond yield to macroeconomic instability: a parsimonious affine model
• Term structure forecasting of government bond yields with latent and macroeconomic factors: do macroeconomic factors imply better out-of-sample forecasts?
• Reexamining time-varying bond risk premia in the post-financial crisis era
• Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
• Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
• Forecasting government bond spreads with heuristic models: evidence from the eurozone periphery

Cites work

• Title not available (Why is no real title available?)
• scientific article; zbMATH DE number 5010681 (Why is no real title available?)
• Factor representing portfolios in large asset markets
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
• Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
• Likelihood-Based Estimation of Latent Generalized ARCH Structures
• The Model Confidence Set
• The elements of statistical learning. Data mining, inference, and prediction
• The generalized dynamic factor model consistency and rates

Cited in

(1)

• Augmented factor models with applications to validating market risk factors and forecasting bond risk premia

Describes a project that uses

Uses Software

• ElemStatLearn

This page was built for publication: Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5864355)