Real-time Bayesian learning and bond return predictability

DOI10.1016/J.JECONOM.2020.04.052OpenAlexW3158190257MaRDI QIDQ2155310

Andras Fulop, Junye Li, Runqing Wan

Publication date: 15 July 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.04.052

zbMATH Keywords

Bayesian learningparameter uncertaintybond return predictabilitymodel combinationsnon-overlapping bond returnsreal-time macroeconomic information

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Are bond returns predictable with real-time macro data?

Cites Work

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• Asymptotic Inference about Predictive Ability

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