FULOP Andras
RC - Working Paper
Working Paper 22.09.2022 Real-Time Macro Information and Bond Return Predictability: A Weighted Group Deep Learning Approach

This paper proposes a weighted group neural network model and reexamines whether treasury bond returns are predictable when real-time, instead of fully-revised, macro information is used.

More > 10 minutes
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Working Paper 7.05.2019 News-Based Indices on Country Fundamentals: Do They Help Explain Sovereign Credit Spread Fluctuations?

This paper revisits the discussion about the role that fundamentals play in asset prices using sovereign credit spread data.

More > 10 minutes
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Working Paper 1.06.2017 Parameter Learning, Sequential Model Selection, and Bond Return Predictability

Parameter Learning, Sequential Model Selection, and Bond Return Predictability

More > 10 minutes

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