Forecasting Bond Risk Premia Using Technical Analysis

• Main Authors: GOH, Jeremy C, TU, Jun, Zhou, Guofu, JIANG, Fuwei
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2012
• Subjects: bond risk premium predictability; economic variables; technical analysis; moving-average rules; volume; out-of-sample forecasts; principal components; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/3328; https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1914227
• Institution: Singapore Management University

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 technical indicators vis-a-vi...