Reexamining time-varying bond risk premia in the post-financial crisis era
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DOI: 10.1016/j.jedc.2019.103777
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Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
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More about this item
Keywords
Bond risk premia predictability; 2008 Financial crisis; Out-of-sample forecasts; Affine model;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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