Grishchenko, Olesya V.; Song, Zhaogang; Zhou, Hao - In: The Journal of finance and data science : JFDS 8 (2022), pp. 255-295
horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk …, while standard forward-rate-based factors are associated with both short-run and long-run risks in the economy. Our model …