Macro Factors in Bond Risk Premia
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References listed on IDEAS
- James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc.
- Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December.
More about this item
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- E0 - Macroeconomics and Monetary Economics - - General
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-FMK-2005-11-05 (Financial Markets)
- NEP-FOR-2005-11-05 (Forecasting)
- NEP-MAC-2005-11-05 (Macroeconomics)
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