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Term structure modeling and forecasting of government bond yields : does a good in -sample fit imply reasonable out-of-sample forecasts?
Ullah, Wali; Matsuda, Yasumasa; Tsukuda, Yoshihiko - In: Economic papers : a journal of applied economics and policy 32 (2013) 4, pp. 535-560
Persistent link: https://www.econbiz.de/10010259467
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Trade versus time series based volatility forecasts : evidence from the Austrian stock market
Lehar, Alfred; Scheicher, Martin; Strobl, Günter - In: Financial markets and portfolio management 15 (2001) 4, pp. 500-515
Persistent link: https://www.econbiz.de/10001866059
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Efficient Yield Curve Estimation and Forecasting in Brazil
Caldeira, João - 2013
Brazilian yield curve. The data consisted of daily observations of the most liquid future ID yields traded in the BM&F from … January 2006 to February 2009. Differently from the literature on the Brazilian yield curve, where the Diebold-Li model is …
Persistent link: https://www.econbiz.de/10013090757
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A Fresh Look at Return Predictability Using a More Efficient Estimator
Johnson, Travis L. - 2018
predictors, such as the dividend yield, perform better in- and out-of-sample when using my estimator, indicating the …
Persistent link: https://www.econbiz.de/10012937504
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The expected real yield and inflation components of the nominal yield curve
Lange, Ronald H. - In: The North American journal of economics and finance : a … 39 (2017), pp. 1-18
Persistent link: https://www.econbiz.de/10011878571
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A fresh look at return predictability using a more efficient estimator : editor's choice
Johnson, Travis L. - In: Review of asset pricing studies : RAPS 9 (2019) 1, pp. 1-46
Persistent link: https://www.econbiz.de/10012163282
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Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange
Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - 1998
Persistent link: https://www.econbiz.de/10000682409
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Confidence intervals for long-horizon predictive regressions via reverse regressions
Wei, Min; Wright, Jonathan H. - 2009
Persistent link: https://www.econbiz.de/10003867244
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Sharpe ratios in term structure models
Duffee, Greg - 2011 - First draft November 2009, This Draft: April 7, 2010
Conditional maximum Sharpe ratios implied by fully flexible four-factor and five-factor Gaussian term structure models are astronomically high. Estimation of term structure models subject to a constraint on their Sharpe ratios uncovers properties that hold for a wide range of Sharpe ratios....
Persistent link: https://www.econbiz.de/10008808730