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Journal article

A dynamic model of expected bond returns : a functional gradient descent approach

  • Audrino, Francesco Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
  • Barone-Adesi, Giovanni Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
    11.07.2006
Published in:
  • Computational statistics & data analysis. - Elsevier. - 2006, vol. 51, no. 4, p. 2267-2277
Term structure
bond returns
functional gradient descent
semi-parametric VAR-GARCH models
English 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
Classification
Economics
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Persistent URL
https://n2t.net/ark:/12658/srd1318146
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