Bond Returns and Market Expectations
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- Carlo Altavilla & Riccardo Costantini & Raffaella Giacomini, 2013. "Bond returns and market expectations," CeMMAP working papers CWP20/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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Cited by:
- Konstantinos Metaxoglou & Davide Pettenuzzo & Aaron Smith, 2019.
"Option-Implied Equity Premium Predictions via Entropic Tilting,"
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Management Science, INFORMS, vol. 65(2), pages 508-540, February.
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- Fausto Vieira & Fernando Chague, Marcelo Fernandes, 2016.
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2016_31, University of São Paulo (FEA-USP).
- Vieira, Fausto José Araújo & Chague, Fernando Daniel & Fernandes, Marcelo, 2017. "A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US," Textos para discussão 445, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Raffaella Giacomini, 2014. "Economic theory and forecasting: lessons from the literature," CeMMAP working papers CWP41/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Vieira, Fausto & Fernandes, Marcelo & Chague, Fernando, 2017.
"Forecasting the Brazilian yield curve using forward-looking variables,"
International Journal of Forecasting, Elsevier, vol. 33(1), pages 121-131.
- Fausto Vieira & Fernando Chague & Marcelo Fernandes, 2016. "Forecasting the Brazilian Yield Curve Using Forward-Looking Variables," Working Papers 799, Queen Mary University of London, School of Economics and Finance.
- Fausto Vieira & Fernando Chague & Marcelo Fernandes, 2016. "Forecasting the Brazilian Yield Curve Using Forward-Looking Variables," Working Papers 799, Queen Mary University of London, School of Economics and Finance.
- Giacomini, Raffaella, 2014. "Economic theory and forecasting: lessons from the literature," CEPR Discussion Papers 10201, C.E.P.R. Discussion Papers.
- Gonzalo Cortazar & Cristobal Millard & Hector Ortega & Eduardo S. Schwartz, 2019. "Commodity Price Forecasts, Futures Prices, and Pricing Models," Management Science, INFORMS, vol. 65(9), pages 4141-4155, September.
- Eriksen, Jonas N., 2017.
"Expected Business Conditions and Bond Risk Premia,"
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- Jonas Nygaard Eriksen, 2015. "Expected Business Conditions and Bond Risk Premia," CREATES Research Papers 2015-44, Department of Economics and Business Economics, Aarhus University.
- Fernandes, Marcelo & Vieira, Fausto, 2019. "A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.
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JEL classification:
- G1 - Financial Economics - - General Financial Markets
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
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