Forecasting Bond Risk Premia Using Technical Analysis

• المؤلفون الرئيسيون: GOH, Choo Yong, Jeremy, Jiang, Fuwei, TU, Jun, Zhou, Guofu
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2011
• الموضوعات: Bond risk premium predictability; Macroeconomic variables; Moving-average rules; Volume; Out-of-sample forecasts; Principal components; Corporate Finance
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/3144; https://ink.library.smu.edu.sg/context/lkcsb_research/article/4143/viewcontent/Bond_tech_11_30_2011.pdf

While economic variables have been used extensively to forecast the U.S. bond risk premia, little attention has been paid to the use of technical indicators which are widely employed by practitioners. In this paper, we fill this gap by studying the predictive ability of using a variety of technical i...