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Reexamining time-varying bond risk premia in the post-financial crisis era

Zhang, Han; Fan, Xiaoyun; Guo, Bin; Zhang, Wei - In: Journal of economic dynamics & control 109 (2019), pp. 1-19

Persistent link: https://www.econbiz.de/10012314108

Predictive Systems, Real Economy, and Bond Risk Premia

WAN, Runqing - 2019

This paper investigates bond risk premia in the framework of predictive systems. Different from the traditional linear … deliver stronger evidence of predictability than linear predictive models. Furthermore, bond risk premia inferred by …

Persistent link: https://www.econbiz.de/10012863043

Forecasting WTI crude oil futures returns : does the term structure help?

Bredin, Donal; O'Sullivan, Conall; Spencer, Simon - In: Energy economics 100 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012990233

Nonparametric long term prediction of stock returns with generated bond yields

Scholz, Michael; Sperlich, Stefan; Nielsen, Jens Perch - In: Insurance / Mathematics & economics 69 (2016), pp. 82-96

Persistent link: https://www.econbiz.de/10011530926

Is imperfection better? : evidence from predicting stock and bond returns

Lučivjanská, Katarína - In: Journal of financial econometrics : official journal of … 16 (2018) 2, pp. 244-270

Persistent link: https://www.econbiz.de/10011987766

Investors' perspective on forecasting crude oil return volatility : where do we stand today?

Liu, Li; Geng, Qianjie; Zhang, Yaojie; Wang, Yudong - In: Journal of management science and engineering 7 (2022) 3, pp. 423-438

In this paper, we review studies of oil volatility prediction from a new perspective: that of investors who require economic evaluations of forecasting performance. Our results indicate that no single volatility model outperforms all of the competing models, of which GARCH and realized...

Persistent link: https://www.econbiz.de/10014310613

The role of credit spreads and structural breaks in forecasting the term structure of Korean government bond yields

Lee, Chang Hoon; Kang, Kyu Ho - In: Asia-Pacific journal of financial studies 44 (2015) 3, pp. 353-386

Persistent link: https://www.econbiz.de/10011458991

Skewness and Co-Skewness in Bond Returns

Chiang, I-Hsuan Ethan - 2016

Bond skewness and coskewness (i.e., bond return comovement with market volatility) are both time varying, with cross … coskewness with respect to the bond market index; lower quality bonds have lower skewness, and higher coskewness with respect to … the bond market index. Three-moment bond alphas (which account for coskewness effects) are time varying and predictable by …

Persistent link: https://www.econbiz.de/10013004337

Issuer term variability, bond yield spreads, and reaching for yield

Kim, Gi Hyun; Massa, Massimo - 2024 - Revised version of 2022/41/FIN

Persistent link: https://www.econbiz.de/10015071827

New methods in fixed income modeling : fixed income modeling

Mili, Mehdi (ed.); Samaniego Medina, Reyes (ed.); … - 2018

This book presents new approaches to fixed income modeling and portfolio management techniques. Taking into account the latest mathematical and econometric developments in finance, it analyzes the hedging securities and structured instruments that are offered by banks, since recent research in...

Persistent link: https://www.econbiz.de/10011890434