Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators

DOI10.1080/07474938.2013.833809zbMath1491.62148OpenAlexW2133228589MaRDI QIDQ5864355

Fulvio Corsi, Francesco Audrino, Kameliya Filipova

Publication date: 7 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/4429/1/AudrinoCorsiKamliya_BondRiskPremia_sub2012.pdf

zbMATH Keywords

business cyclesKalman filterheteroskedasticitymacroeconomic variablesexact factor modelforecasting bond risk premiainflation measures

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Uses Software

• ElemStatLearn

Cites Work

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