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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Main Authors: | HUANG, Dashan, JIANG, Fuwei, LI, Kunpeng, TONG, Guoshi, ZHOU, Guofu |
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Format: | text |
Language: | English |
Published: |
Institutional Knowledge at Singapore Management University
2023
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Subjects: | |
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 |
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