Novales, Alfonso; Nieto, Belén; Rubio, Gonzalo - Facultad de Ciencias Económicas y Empresariales, … - 2014
-of-sample analysis show that recognizing the existence of a stochastic low-frequency component captured by macroeconomic and financial … indicators may improve the fit of the model to actual bond return data, relative to the constant long-run component embedded in a …