Must read articles

    • Working Paper
    • EN
Share
Working-paper.jpg
Working Paper Bayesian Learning Bond Return Predictability Parameter uncertainty
1.06.2017

Parameter Learning, Sequential Model Selection, and Bond Return Predictability

Published 

1 June, 2017

> 10 minutes
1.06.2017
Parameter Learning, Sequential Model Selection, and Bond Return Predictability
Published 

1 June, 2017

> 10 minutes

The paper finds both statistically and economically significant out-of-sample evidence of bond return predictability for a Bayesian investor who learns about parameters, hidden states, and predictive models over time. We find that the factor extracted from a large panel of macroeconomic variables contains rich information on future excess bond returns and that introducing stochastic volatility can improve predictive performance. Interestingly, economic evidence is much more pronounced when we do not impose any investment weight constraints, and there seems to be a squeeze of intermediaries capital and a scarcity of arbitrage capital when investors require extreme long positions. We also document that model combinations work well in predicting excess bond returns. Amundi Working Paper - June2017

To find out more, download the full paper

This website is solely for informational purposes.
 
This website does not constitute an offer to sell, a solicitation of an offer to buy, or a recommendation of any security or any other product or service. Any securities, products, or services referenced may not be registered for sale with the relevant authority in your jurisdiction and may not be regulated or supervised by any governmental or similar authority in your jurisdiction.
 
Furthermore, nothing in this website is intended to provide tax, legal, or investment advice and nothing in this website should be construed as a recommendation to buy, sell, or hold any investment or security or to engage in any investment strategy or transaction. There is no guarantee that any targeted performance or forecast will be achieved.

Get in touch with us

Our online help service is available to answer your question.

My personal information

If you have a question about our company or one of our products, please complete the form to get in touch. Please do not mention your account numbers or critical data in this form.

Civility*
CAPTCHA This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.

(*) Required fields
All our job offers (Permanent and temporary position, Internship, Apprenticeship or VIE) are available on our dedicated website: https://jobs.amundi.com.

Register and apply directly online.

Amundi on Twitter