Forecasting Corporate Bond Returns with a Large Set of Predictors: An Iterated Combination Approach
Author:
Affiliation:
1. Victoria University of Wellington, Kelburn, Wellington 6012, New Zealand
2. State University of New York at Buffalo, Buffalo, New York 14228
3. Olin School of Business, Washington University in St. Louis, St. Louis, Missouri 63130
Publisher
Institute for Operations Research and the Management Sciences (INFORMS)
Subject
Management Science and Operations Research,Strategy and Management
Link
https://pubsonline.informs.org/doi/pdf/10.1287/mnsc.2017.2734
Reference51 articles.
1. Do interest rate options contain information about excess returns?
2. Stock Return Predictability: Is it There?
3. Real-Time Measurement of Business Conditions
4. The Combination of Forecasts
5. Measuring Abnormal Bond Performance
Cited by 97 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Pooling and winsorizing machine learning forecasts to predict stock returns with high-dimensional data;Journal of Empirical Finance;2024-12
2. Climate risk and energy futures high frequency volatility prediction;Energy;2024-10
3. Forecasting stock returns with industry volatility concentration;Journal of Forecasting;2024-05-14
4. Predicting the Equity Premium with Combination Forecasts: A Reappraisal;The Review of Asset Pricing Studies;2024-04-10
5. Forecasting exchange rates: An iterated combination constrained predictor approach;Journal of Forecasting;2024-01-30
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3