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

DOI10.1080/07474938.2013.833809zbMATH Open1491.62148OpenAlexW2133228589MaRDI QIDQ5864355FDOQ5864355

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

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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)

Cites Work

• The elements of statistical learning. Data mining, inference, and prediction
• The Model Confidence Set
• The generalized dynamic factor model consistency and rates
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
• Factor representing portfolios in large asset markets
• Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
• Likelihood-Based Estimation of Latent Generalized ARCH Structures
• Title not available (Why is that?)
• EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS

Cited In (1)

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

Uses Software

• ElemStatLearn

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