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forecasting. To do so, we develop a general estimation approach to incorporate volatility proxy information into dynamic factor …
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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...
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a heteroskedasticity-based estimation technique. The results indicate that increases in what we call the "war risk …
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