A dynamic model of expected bond returns: A functional gradient descent approach
Journal
Computational Statistics & Data Analysis
ISSN
0167-9473
ISSN-Digital
1872-7352
Type
journal article
Date Issued
2006-12-15
Author(s)
Abstract
A multivariate methodology based on functional gradient descent to estimate and forecast time-varying expected bond returns is presented and discussed. Backtesting this procedure on US monthly data, empirical evidence of its strong forecasting potential in terms of the accuracy of the predictions is collected. The proposed methodology clearly outperforms the classical univariate analysis used in the literature.
Language
English
Keywords
Term structure
Bond returns
Functional gradient descent
Semi-parametric VAR-GARCH models
HSG Classification
not classified
Refereed
Yes
Publisher
Elsevier Science
Publisher place
Amsterdam
Volume
51
Number
4
Start page
2267
End page
2277
Pages
11
Subject(s)
Eprints ID
32658