factors. This paper builds a theoretical model to forecast excess returns on treasury bonds in the context of China's unique …

further improve the other method's forecasting performance. The performance of using BMA to forecast bond excess return is … model in forecasting one-month-ahead yield curve. We apply BMA to forecast the government bond yield change and indicate BMA …

We propose an economically motivated forecast combination strategy in which model weights are related to portfolio … returns obtained by a given forecast model. An empirical application based on an optimal mean-variance bond portfolio problem … measures of forecast accuracy. We compute average net excess returns, standard deviation, and the Sharpe ratio of bond …