Bond return predictability : economic value and links to the macroeconomy
Year of publication: |
2019
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Authors: | Gargano, Antonio ; Pettenuzzo, Davide ; Timmermann, Allan |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 65.2019, 2, p. 508-540
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Subject: | bond returns | yield curve | macro factors | stochastic volatility | time-varying parameters | unspanned macro risk factors | Anleihe | Bond | Zinsstruktur | Yield curve | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Risiko | Risk | Konjunktur | Business cycle | Öffentliche Anleihe | Public bond | Kapitalmarktrendite | Capital market returns | Theorie | Theory | Volatilität | Volatility | Risikoprämie | Risk premium | Rentenmarkt | Bond market | Ökonometrisches Modell | Econometric model |
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