Showing 1 - 10 of 11
Persistent link: https://www.econbiz.de/10008668608
Persistent link: https://www.econbiz.de/10003820335
Persistent link: https://www.econbiz.de/10011437580
Persistent link: https://www.econbiz.de/10009630174
This paper revisits the predictability of bond excess returns by means of long-term forward interest rates. We assess the economic value of out-of-sample forecasting ability of empirical models based on forward rates in a dynamic asset allocation strategy. Our results show that the information...
Persistent link: https://www.econbiz.de/10014190574
Persistent link: https://www.econbiz.de/10015329995
Persistent link: https://www.econbiz.de/10012201648
Persistent link: https://www.econbiz.de/10012202946
Persistent link: https://www.econbiz.de/10012179494
What explains the sharp movements of the yield curve in response to major U.S. macroeconomic announcements? To answer this question, we estimate an arbitrage-free dynamic term structure model with macroeconomic fundamentals as risk factors. We assume that the yield curve reacts to announcements...
Persistent link: https://www.econbiz.de/10012940945