Bond risk premia and the return forecasting factor

DOI10.1515/snde-2018-0009OpenAlexW2904489614MaRDI QIDQ2697065

Agustin Gutierrez, Constantino Hevia, Martin Sola

Publication date: 17 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2018-0009

zbMATH Keywords

excess returnsaffine term structure modelsbond risk premiareturn forecasting factor

Mathematics Subject Classification ID

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

Cites Work

• t-Statistic Based Correlation and Heterogeneity Robust Inference

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