Are bond returns predictable with real-time macro data?
From MaRDI portal
Publication:6090593
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)
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Cites Work
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- Sliced Regression for Dimension Reduction
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- 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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