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https://ah.lib.nccu.edu.tw/handle/140.119/112113
題名: | Do economic variables improve bond return volatility forecasts? | 作者: | 趙世偉 Chao, Shih Wei |
貢獻者: | 金融系 | 關鍵詞: | Bond return volatility; Predictive ability; Forecast combination; Forecast performance decomposition | 日期: | Nov-2016 | 上傳時間: | 23-Aug-2017 | 摘要: | This paper explores whether various economic variables improve monthly bond return volatility forecasts using the 1963–2012 data. In-sample analysis indicates that stock return or Federal Funds rate difference Granger causes bond volatility of all maturities. The forecasting ability of other variables mainly appears at the short end of the term structure or during the relatively turbulent time. Out-of-sample analysis suggests little evidence of forecast improvement, though forecast combination does improve the performance. Decomposing the out-of-sample forecasts indicates that the poor performance is primarily attributed to overfitting, and variable reduction by principal components does not change the results. | 關聯: | International Review of Economics and Finance, 46, 10-26 | 資料類型: | article | DOI: | http://dx.doi.org/10.1016/j.iref.2016.08.001 |
Appears in Collections: | 期刊論文 |
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