Zobrazeno 1 - 3
of 3
pro vyhledávání: '"Tobias Hoogteijling"'
Publikováno v:
The Review of Financial Studies. 34:1090-1103
In this note we revisit the empirical results in Bianchi, Büchner, and Tamoni (2020) after correcting for using information not available at the time the forecast was made. Although we note a decrease in out-of-sample $R^2$, the revised analysis con
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fde72380467ff5f1d3d0ea09cc6d3322
https://doi.org/10.1093/rfs/hhaa098
https://doi.org/10.1093/rfs/hhaa098
Publikováno v:
SSRN Electronic Journal.
The standard way to summarize the yield curve is to use the first three principal components of the yield curve, resulting in level, slope and curvature factors. Yields, however, are non-stationary. We analyze the first three principal components of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::31567e4c74f1d91e223d636a738ad673
https://doi.org/10.2139/ssrn.3824896
https://doi.org/10.2139/ssrn.3824896
Autor:
David Blitz, Tobias Hoogteijling
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0d4316284c12a98df8b0e6076c58bf03
https://doi.org/10.2139/ssrn.3974773
https://doi.org/10.2139/ssrn.3974773