A dynamic model of expected bond returns : a functional gradient descent approach
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Audrino, Francesco
Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
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Barone-Adesi, Giovanni
Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
Published in:
- Computational statistics & data analysis. - Elsevier. - 2006, vol. 51, no. 4, p. 2267-2277
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.
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Economics
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https://n2t.net/ark:/12658/srd1318146
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