Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators
Francesco Audrino , Fulvio Corsi and Kameliya Filipova
| Year of publication: |
2016
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|---|---|
| Authors: | Audrino, Francesco ; Corsi, Fulvio ; Filipova, Kameliya |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 35.2016, 1/4, p. 232-256
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| Subject: | Business cycles | Exact factor model | Forecasting bond risk premia | Heteroskedasticity | Inflation measures | Kalman filter | Macroeconomic variables | Prognoseverfahren | Forecasting model | Risikoprämie | Risk premium | Zinsstruktur | Yield curve | Anleihe | Bond | Inflation | Wirtschaftsindikator | Economic indicator | Konjunktur | Business cycle | Zustandsraummodell | State space model | Schätzung | Estimation | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Prognose | Forecast | Faktorenanalyse | Factor analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2013.833809 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011549916