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The economic value of predicting bond risk premia

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Cited by:

  1. repec:zbw:bofrdp:2020_002 is not listed on IDEAS
  2. Antonio Gargano & Davide Pettenuzzo & Allan Timmermann, 2019. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Management Science, INFORMS, vol. 65(2), pages 508-540, February.
  3. Timmermann, Allan, 2018. "Forecasting Methods in Finance," CEPR Discussion Papers 12692, C.E.P.R. Discussion Papers.
  4. Biao Guo & Qian Han & Hai Lin, 2018. "Are there gains from using information over the surface of implied volatilities?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 645-672, June.
  5. Rui Liu, 2019. "Forecasting Bond Risk Premia with Unspanned Macroeconomic Information," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 1-62, March.
  6. Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2023. "Commodity futures return predictability and intertemporal asset pricing," Journal of Commodity Markets, Elsevier, vol. 31(C).
  7. Faria, Gonçalo & Verona, Fabio, 2020. "Frequency-domain information for active portfolio management," Research Discussion Papers 2/2020, Bank of Finland.
  8. Hitesh Doshi & Kris Jacobs & Rui Liu, 2021. "Information in the Term Structure: A Forecasting Perspective," Management Science, INFORMS, vol. 67(8), pages 5255-5277, August.
  9. Realdon, Marco & Boonyanet, Wachira, 2017. "Linear–quadratic term structure models for negative euro area yields," Economics Letters, Elsevier, vol. 155(C), pages 149-153.
  10. Abraham Lioui & Andrea Tarelli, 2023. "Money Illusion and TIPS Demand," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(1), pages 171-214, February.
  11. Faria, Gonçalo & Verona, Fabio, 2020. "Frequency-domain information for active portfolio management," Bank of Finland Research Discussion Papers 2/2020, Bank of Finland.
  12. Ren‐Raw Chen & Pei‐Lin Hsieh & Jeffrey Huang & Xiaowei Li, 2023. "Predictive power of the implied volatility term structure in the fixed‐income market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(3), pages 349-383, March.
  13. Wan, Runqing & Fulop, Andras & Li, Junye, 2022. "Real-time Bayesian learning and bond return predictability," Journal of Econometrics, Elsevier, vol. 230(1), pages 114-130.
  14. Fong, Tom Pak Wing & Wu, Shui Tang, 2020. "Predictability in sovereign bond returns using technical trading rules: Do developed and emerging markets differ?," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  15. Devpura, Neluka & Narayan, Paresh Kumar & Sharma, Susan Sunila, 2021. "Bond return predictability: Evidence from 25 OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
  16. Iania, Leonardo & Lyrio, Marco & Nersisyan, Liana, 2023. "Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries," LIDAM Discussion Papers LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
  17. Biao Guo & Hai Lin, 2020. "Volatility and jump risk in option returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1767-1792, November.
  18. Christensen, Bent Jesper & Kjær, Mads Markvart & Veliyev, Bezirgen, 2023. "The incremental information in the yield curve about future interest rate risk," Journal of Banking & Finance, Elsevier, vol. 155(C).
  19. Hai Lin & Chunchi Wu & Guofu Zhou, 2018. "Forecasting Corporate Bond Returns with a Large Set of Predictors: An Iterated Combination Approach," Management Science, INFORMS, vol. 64(9), pages 4218-4238, September.
  20. João F. Caldeira, 2020. "Investigating the expectation hypothesis and the risk premium dynamics: new evidence for Brazil," Empirical Economics, Springer, vol. 59(1), pages 395-412, July.
  21. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2016. "Demographics and the Behavior of Interest Rates," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(4), pages 732-776, November.
  22. Su, Hao & Ying, Chengwei & Zhu, Xiaoneng, 2022. "Disaster risk matters in the bond market," Finance Research Letters, Elsevier, vol. 47(PA).
  23. Allan Timmermann, 2018. "Forecasting Methods in Finance," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 449-479, November.
  24. Hai Lin & Xinyuan Tao & Junbo Wang & Chunchi Wu, 2020. "Credit Spreads, Business Conditions, and Expected Corporate Bond Returns," JRFM, MDPI, vol. 13(2), pages 1-34, January.
  25. Tom Engsted & Stig V. Møller & Magnus Sander, 2013. "Bond return predictability in expansions and recessions," CREATES Research Papers 2013-13, Department of Economics and Business Economics, Aarhus University.
  26. Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2020. "Predicting bond return predictability," CREATES Research Papers 2020-09, Department of Economics and Business Economics, Aarhus University.
  27. Zhang, Han & Fan, Xiaoyun & Guo, Bin & Zhang, Wei, 2019. "Reexamining time-varying bond risk premia in the post-financial crisis era," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
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