Showing 1 - 10 of 339
Persistent link: https://www.econbiz.de/10009405709
Persistent link: https://www.econbiz.de/10011803685
Persistent link: https://www.econbiz.de/10008670000
Persistent link: https://www.econbiz.de/10008696460
Persistent link: https://www.econbiz.de/10011709248
forecasting. To do so, we develop a general estimation approach to incorporate volatility proxy information into dynamic factor …
Persistent link: https://www.econbiz.de/10011499535
Persistent link: https://www.econbiz.de/10011409516
This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond returns on Treasuries from 2008-2015 than before 2008. This new predictability result is not matched by the standard shadow rate model with Gaussian factor dynamics, but...
Persistent link: https://www.econbiz.de/10012181201
Persistent link: https://www.econbiz.de/10002634054
Persistent link: https://www.econbiz.de/10012437922