Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Jianqing Fan, Yuan Ke, Yuan Liao
| Year of publication: |
2021
|
|---|---|
| Authors: | Fan, Jianqing ; Ke, Yuan ; Liao, Yuan |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 222.2021, 1,2, p. 269-294
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| Subject: | Forecasts | Heavy tails | Identification | Principal components | Prognoseverfahren | Forecasting model | Risikoprämie | Risk premium | Faktorenanalyse | Factor analysis | Anleihe | Bond | Prognose | Forecast | Zinsstruktur | Yield curve | Schätzung | Estimation | Kapitaleinkommen | Capital income | Marktrisiko | Market risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.07.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012619418