Are bond returns predictable with real-time macro data?

DOI10.1016/J.JECONOM.2022.09.008MaRDI QIDQ6090593zbMATH OpenFDO

Authors Dashan Huang, Fuwei Jiang, Kunpeng Li, Guoshi Tong, Guofu Zhou

Publication date 17 November 2023

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2022.09.008

zbMATH Keywords

bond return predictabilitymachine learningreal-time macro datascaled sufficient forecasting

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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• Bond risk premia in consumption-based models
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• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 1220060 (Why is no real title available?)
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
• Inferential Theory for Factor Models of Large Dimensions
• Prediction by Supervised Principal Components
• Real-time Bayesian learning and bond return predictability
• Risk premia and volatilities in a nonlinear term structure model
• Sliced Inverse Regression for Dimension Reduction
• Sliced Regression for Dimension Reduction
• Sufficient Dimension Reduction via Inverse Regression
• Sufficient forecasting using factor models

Cited in

(1)

• Forecasting Inflation Using Economic Narratives

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