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as predictors. Third, we pool the forecasts in clusters to hedge against model risk and to evaluate the usefulness of …, and reducing tail risk. Using the same approach for return forecasts, however, does not lead to a consistent …
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. These results are also important to risk managers and and investors. …
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This paper adopts a novel approach to studying the evolution of interest rate term structure over the U.S. business cycles and to predicting recessions. Applying an effective algorithm, I classify the Treasury yield curve into distinct shapes and find the less frequent shapes intrinsically...
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