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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

Augmented factor models with applications to validating market risk factors and forecasting bond risk premia

Fan, Jianqing; Ke, Yuan; Liao, Yuan - In: Journal of econometrics 222 (2021) 1,2, pp. 269-294

Persistent link: https://www.econbiz.de/10012619418

Examining the sources of excess return predictability : stochastic volatility or market inefficiency?

Lansing, Kevin J.; LeRoy, Stephen F.; Ma, Jun - In: Journal of economic behavior & organization : JEBO 197 (2022), pp. 50-72

Persistent link: https://www.econbiz.de/10013383142

Global bond risk premia under falling stars

Zhang, Yugui; Zhu, Jie; Zhu, Xiaoneng - In: Finance research letters 42 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10014580460

A Markov switching unobserved component analysis of the CDX index term premium

Calice, Giovanni; Ioannidis, Christos; Miao, Rong Hui - In: International review of financial analysis 44 (2016), pp. 189-204

Persistent link: https://www.econbiz.de/10011623992

Regime shifts, risk premiums in the term structure, and the business cycle

Bansal, Ravi; Tauchen, George Eugene; Zhou, Hao - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 396-409

Persistent link: https://www.econbiz.de/10002372889

Regime-shifts, risk premiums in the term structure, and the business cycle

Bansal, Ravi; Tauchen, George Eugene; Zhou, Hao - 2003

Persistent link: https://www.econbiz.de/10001764084

Yield curve momentum

Sihvonen, Markus - 2021

I analyze time series momentum along the Treasury term structure. Past bond returns predict future returns both due to autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily due to autocorrelation in yield changes...

Persistent link: https://www.econbiz.de/10012665285

An asset pricing approach to testing general term structure models

Christensen, Bent Jesper; Wel, Michel van der - In: Journal of financial economics 134 (2019) 1, pp. 165-191

Persistent link: https://www.econbiz.de/10012166772

Yield curve momentum

Sihvonen, Markus - In: Review of finance : journal of the European Finance … 28 (2024) 3, pp. 805-830

Persistent link: https://www.econbiz.de/10015046165

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