Forecasting local currency bond risk premia of emerging markets: The role of cross‐country macrofinancial linkages-Reference-Cited by-同舟云学术

Forecasting local currency bond risk premia of emerging markets: The role of cross‐country macrofinancial linkages

Published:2020-03-05 Issue:6 Volume:39 Page:966-985
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Cepni Oguzhan¹,Gupta Rangan²^ORCID,Güney I. Ethem¹,Yilmaz M.¹

Affiliation:

1. Central Bank of the Republic of Turkey Ankara Turkey

2. Department of EconomicsUniversity of Pretoria Pretoria South Africa

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modelling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/for.2669

Reference48 articles.

1. Predictability of Emerging Market Local Currency Bond Risk Premia

2. Bai J.(2010).Equity Premium Predictions with Adaptive Macro Indexes. (Staff Report 475).New York NY: Federal Reserve Bank of New York.

3. Determining the Number of Factors in Approximate Factor Models

4. Large Dimensional Factor Analysis

5. Bianchi D. Buchner M. &Tamoni A.(2019).Bond Risk Premia with Machine Learning. (USC‐INET Research Paper 19‐11).Los Angeles CA: USC Dornsife INET University of Southern California.

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