Are bond returns predictable with real-time macro data?

DOI10.1016/j.jeconom.2022.09.008MaRDI QIDQ6090593

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

Publication date: 17 November 2023

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

zbMATH Keywords

machine learningbond return predictabilityreal-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

• Sufficient forecasting using factor models
• Sliced Regression for Dimension Reduction
• Approximately normal tests for equal predictive accuracy in nested models
• Forecasting economic time series using targeted predictors
• Real-time Bayesian learning and bond return predictability
• Estimating latent asset-pricing factors
• Eigenvalue Ratio Test for the Number of Factors
• Sliced Inverse Regression for Dimension Reduction
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
• Bond risk premia in consumption‐based models
• Risk Premia and Volatilities in a Nonlinear Term Structure Model
• Inferential Theory for Factor Models of Large Dimensions
• Sufficient Dimension Reduction via Inverse Regression
• Prediction by Supervised Principal Components
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