Robust Bond Risk Premia
Tóm tắt
Từ khóa
Tài liệu tham khảo
Adrian,, 2013, Pricing the term structure with linear regressions., Journal of Financial Economics, 110, 110, 10.1016/j.jfineco.2013.04.009
Andrews,, 1991, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation., Econometrica, 59, 817, 10.2307/2938229
Ang,, 2007, Stock return predictability: Is it there?, Review of Financial studies, 20, 651, 10.1093/rfs/hhl021
Bansal,, 2013, A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets., Review of Financial Studies, 26, 1, 10.1093/rfs/hhs108
Basawa,, 1991, Bootstrapping unstable first-order autoregressive processes., Annals of Statistics, 1098, 10.1214/aos/1176348142
Bauer,, 2017, Resolving the Spanning Puzzle in Macro-Finance Term Structure Models., Review of Finance, 21, 511, 10.1093/rof/rfw044
Bekaert,, 1997, On biases in tests of the expectations hypothesis of the term structure of interest rates., Journal of Financial Economics, 44, 309, 10.1016/S0304-405X(97)00007-X
Bekaert,, 2009, Risk, Uncertainty, and Asset Prices., Journal of Financial Economics, 91, 59, 10.1016/j.jfineco.2008.01.005
Bekaert,, 2001, Expectations hypotheses tests., Journal of Finance, 56, 1357, 10.1111/0022-1082.00371
Berkowitz,, 2000, Recent developments in bootstrapping time series., Econometric Reviews, 19, 1, 10.1080/07474930008800457
Bikbov,, 2010, No-Arbitrage Macroeconomic Determinants of the Yield Curve., Journal of Econometrics, 159, 166, 10.1016/j.jeconom.2010.05.004
Campbell,, 1999, By force of habit: A consumption-based explanation of aggregate stock market behavior., Journal of Political Economy, 107, 205, 10.1086/250059
Campbell,, 1991, Yield Spreads and Interest Rate Movements: A Bird’s Eye View., Review of Economic Studies, 58, 495, 10.2307/2298008
Campbell,, 2006, Efficient tests of stock return predictability., Journal of Financial Economics, 81, 27, 10.1016/j.jfineco.2005.05.008
Cattaneo,, 2014, Comment., Journal of Business & Economic Statistics, 32, 324, 10.1080/07350015.2014.928220
Cavanagh,, 1995, Inference in Models with Nearly Integrated Regressors., Econometric Theory, 11, 1131, 10.1017/S0266466600009981
Chan,, 1988, The parameter inference for nearly nonstationary time series., Journal of the American Statistical Association, 83, 857, 10.1080/01621459.1988.10478674
Cieslak,, 2015, Expected Returns in Treasury Bonds., Review of Financial Studies, 28, 2859, 10.1093/rfs/hhv032
Cooper,, 2008, Time-Varying Risk Premiums and the Output Gap., Review of Financial Studies, 22, 2801, 10.1093/rfs/hhn087
Dewachter,, 2006, Macro Factors and the Term Structure of Interest Rates., Journal of Money, Credit and Banking, 38, 119, 10.1353/mcb.2006.0014
Diebold,, 1995, Comparing Predictive Accuracy., Journal of Business & Economic Statistics, 13, 253, 10.1080/07350015.1995.10524599
Diebold,, 2006, The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach., Journal of Econometrics, 131, 309, 10.1016/j.jeconom.2005.01.011
Dueffe,, 2011, Forecasting with the term structure: The role of no-arbitrage.
Dueffe,, 2011, Information In (and Not In) the Term Structure., Review of Financial Studies, 24, 2895, 10.1093/rfs/hhr033
Dueffe,, 2013, Bond Pricing and the Macroeconomy., Handbook of the Economics of Finance, 907
Dueffe,, 2013, Forecasting Interest Rates. in Graham Elliott and Allan Timmermann eds., Handbook of Economic Forecasting, 385
Fama,, 1987, The Information in Long-Maturity Forward Rates., American Economic Review, 77, 680
Ferson,, 2003, Spurious Regressions in Financial Economics?, Journal of Finance, 58, 1393, 10.1111/1540-6261.00571
Giacoletti,, 2016, Learning, Dispersion of Beliefs, and Risk Premiums in an Arbitrage-free Term Structure Model.
Goetzmann,, 1993, Testing the predictive power of dividend yields., Journal of Finance, 48, 663, 10.1111/j.1540-6261.1993.tb04732.x
Greenwood,, 2014, Bond Supply and Excess Bond Returns., Review of Financial Studies, 27, 663, 10.1093/rfs/hht133
Gürkaynak,, 2007, The U.S. Treasury yield curve: 1961 to the present., Journal of Monetary Economics, 54, 2291, 10.1016/j.jmoneco.2007.06.029
Gürkaynak,, 2012, Macroeconomics and the Term Structure., Journal of Economic Literature, 50, 331, 10.1257/jel.50.2.331
Hamilton,, 2012, Identification and estimation of Gaussian affine term structure models., Journal of Econometrics, 168, 315, 10.1016/j.jeconom.2012.01.035
Hamilton,, 2014, Testable Implications of Affine Term Structure Models., Journal of Econometrics, 178, 231, 10.1016/j.jeconom.2013.08.024
Hodrick,, 1992, Dividend yields and expected stock returns: Alternative procedures for inference and measurement., Review of Financial Studies, 5, 357, 10.1093/rfs/5.3.351
Hördahl,, 2006, A Joint Econometric Model of Macroeconomic and Term-Structure Dynamics., Journal of Econometrics, 131, 405, 10.1016/j.jeconom.2005.01.012
Joslin,, 2014, Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks., Journal of Finance, 69, 1197, 10.1111/jofi.12131
Kendall,, 1954, A note on bias in the estimation of autocorrelation., Biometrika, 41, 403, 10.1093/biomet/41.3-4.403
Kilian,, 1998, Small-sample confidence intervals for impulse response functions., Review of Economics and Statistics, 80, 218, 10.1162/003465398557465
Le,, 2013, The Structure of Risks in Equilibrium Affine Models of Bond Yields.
Lewellen,, 2010, A skeptical appraisal of asset pricing tests., Journal of Financial Economics, 96, 175, 10.1016/j.jfineco.2009.09.001
Litterman,, 1991, Common Factors Affecting Bond Returns., Journal of Fixed Income, 1, 54, 10.3905/jfi.1991.692347
Ludvigson,, 2009, Macro Factors in Bond Risk Premia., Review of Financial Studies, 22, 5027, 10.1093/rfs/hhp081
Ludvigson,, 2010, A Factor Analysis of Bond Risk Premia., Handbook of Empirical Economics and Finance, 10.1201/b10440-13
Mankiw,, 1986, Do we reject too often? Small sample properties of tests of rational expectations models., Economics Letters, 20, 139
McCracken,, 2014, FRED-MD: A Monthly Database for Macroeconomic Research.
Müller,, 2014, HAC Corrections for Strongly Autocorrelated Time Series., Journal of Business and Economic Statistics, 32
Nabeya,, 1994, Asymptotic distributions of the least-squares estimators and test statistics in the near unit root model with non-zero initial value and local drift and trend., Econometric Theory, 10, 937, 10.1017/S0266466600008938
Nelson,, 1993, Predictable stock returns: The role of small sample bias., Journal of Finance, 48, 641, 10.1111/j.1540-6261.1993.tb04731.x
Newey,, 1987, A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix., Econometrica, 55, 703, 10.2307/1913610
Phillips,, 1988, Regression theory for near-integrated time series., Econometrica, 1021, 10.2307/1911357
Piazzesi,, 2015, Trend and Cycle in Bond Premia.
Piazzesi,, 2007, Equilibrium Yield Curves. in, NBER Macroeconomics Annual 2006,, 389
Pope,, 1990, Biases of Estimators in Multivariate Non-Gaussian Autoregressions., Journal of Time Series Analysis, 11, 249, 10.1111/j.1467-9892.1990.tb00056.x
Rudebusch,, 2012, The bond premium in a DSGE Model with Long-Run Real and Nominal Risks., American Economic Journal: Macroeconomics, 4, 105
Rudebusch,, 2008, A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy., Economic Journal, 118, 906, 10.1111/j.1468-0297.2008.02155.x
Stambaugh,, 1999, Predictive regressions., Journal of Financial Economics, 54, 375, 10.1016/S0304-405X(99)00041-0
Stock,, 1991, Confidence intervals for the largest autoregressive root in US macroeconomic time series., Journal of Monetary Economics, 28, 435, 10.1016/0304-3932(91)90034-L
Stock,, 1994, Unit roots, structural breaks and trends., Handbook of Econometrics, 2739, 10.1016/S1573-4412(05)80015-7
Wachter,, 2006, A Consumption-Based Model of the Term Structure of Interest Rates., Journal of Financial Economics, 79, 365, 10.1016/j.jfineco.2005.02.004
Wei,, 2013, Reverse Regressions And Long-Horizon Forecasting., Journal of Applied Econometrics, 28, 353, 10.1002/jae.1274