Predicting Bond Betas using Macro-Finance Variables
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- Aslanidis, Nektarios & Christiansen, Charlotte & Cipollini, Andrea, 2019. "Predicting bond betas using macro-finance variables," Finance Research Letters, Elsevier, vol. 29(C), pages 193-199.
- Aslanidis, Nektarios, & Christiansen, Charlotte & Cipollini, Andrea & Bons -- Models matemàtics, 2018. "Predicting Bond Betas using Macro-Finance Variables," Working Papers 2072/306546, Universitat Rovira i Virgili, Department of Economics.
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- Ermolov, Andrey, 2022. "Time-varying risk of nominal bonds: How important are macroeconomic shocks?," Journal of Financial Economics, Elsevier, vol. 145(1), pages 1-28.
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More about this item
Keywords
bond betas; complete subset regressions; corporate bonds; macro-?finance variables; model confi?dence set; risk-return trade-off.;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2017-03-26 (Financial Markets)
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