Forecasting government bond risk premia using technical indicators

• المؤلفون الرئيسيون: GOH, Jeremy, JIANG, Fuwei, TU, Jun, ZHOU, Guofu
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2013
• الموضوعات: Bond risk premium predictability; Economic variables; Technical analysis; Moving average rules; Volume; Out-of-sample forecasts; Principal components; Finance; Finance and Financial Management
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/5173; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6172/viewcontent/SSRN_id1914227.pdf
• المؤسسة: Singapore Management University

While economic variables have been used extensively to forecast bond risk premia, little attention has been paid to technical indicators which are widely used by practitioners. In this paper, we study the predictive ability of a variety of technical indicators vis-a-vis the economic variables. We fin...