Are bond returns predictable with real-time macro data?

We investigate the predictability of bond returns using real-time macro variables and consider the possibility of a nonlinear predictive relationship and the presence of weak factors. To address these issues, we propose a scaled sufficient forecasting (sSUFF) method and analyze its asymptotic proper...

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Bibliographic Details
Main Authors: HUANG, Dashan, JIANG, Fuwei, LI, Kunpeng, TONG, Guoshi, ZHOU, Guofu
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2023
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/7368
https://ink.library.smu.edu.sg/context/lkcsb_research/article/8367/viewcontent/BondReturns_RT_MacroData_sv.pdf
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Institution: Singapore Management University
Language: English