Bond Return Predictability: Economic Value and Links to the Macroeconomy
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- Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75R, Brandeis University, Department of Economics and International Businesss School, revised Jul 2016.
- Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75, Brandeis University, Department of Economics and International Businesss School.
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Cited by:
- Fossati, Sebastian, 2017. "Testing for State-Dependent Predictive Ability," Working Papers 2017-9, University of Alberta, Department of Economics.
More about this item
Keywords
Bayesian estimation; bond returns; model uncertainty; stochastic volatility; time-varying parameters;JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2015-01-09 (All new papers)
- NEP-FMK-2015-01-09 (Financial Markets)
- NEP-FOR-2015-01-09 (Forecasting)
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