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Forecasting US bond returns : a practitioner's perspective

Mylnikov, George - In: The journal of portfolio management : a publication of … 40 (2014) 3, pp. 124-136

Persistent link: https://www.econbiz.de/10010365489

Term structure forecasting of government bond yields with latent and macroeconomic factors : do macroeconomic factors imply better out-of-sample forecasts?

Ullah, Wali; Tsukuda, Yoshihiko; Matsuda, Yasumasa - In: Journal of forecasting 32 (2013) 8, pp. 702-723

Persistent link: https://www.econbiz.de/10010344463

Measuring risk in fixed income portfolios using yield curve models

Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Computational economics 46 (2015) 1, pp. 65-82

Persistent link: https://www.econbiz.de/10011441011

Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators

Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - In: Econometric reviews 35 (2016) 1/4, pp. 232-256

Persistent link: https://www.econbiz.de/10011549916

The role of credit spreads and structural breaks in forecasting the term structure of Korean government bond yields

Lee, Chang Hoon; Kang, Kyu Ho - In: Asia-Pacific journal of financial studies 44 (2015) 3, pp. 353-386

Persistent link: https://www.econbiz.de/10011458991

The predictive density simulation of the yield curve with a zero lower bound

Kang, Kyu Ho - In: Journal of empirical finance 33 (2015), pp. 51-66

Persistent link: https://www.econbiz.de/10011556848

Risks in macroeconomic fundamentals and excess bond returns predictability

De Rezende, Rafael B. - 2015 - February 2015

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...

Persistent link: https://www.econbiz.de/10010478516