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Forecasting Interest Rates · Study

ChapterShelves

ChapterForecasting Interest Rates

Gregory R. Duffee2013

Chapter2013

Forecasting Interest Rates

Gregory R. Duffee

101 citations·0/0 files stored·Handbook of economic forecasting

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Forecasting Techniques and Applications

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References

1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework 1987Parsimonious Modeling of Yield Curves 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 1987Cointegration and Tests of Present Value Models 2003Forecasting the Term Structure of Government Bond Yields 1991Common Factors Affecting Bond Returns 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View

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2021Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates 2013Prediction Markets for Economic Forecasting 2016Demographics and the Behavior of Interest Rates 2020Fiscal policy driven bond risk premia 2011Forecasting Government Bond Risk Premia Using Technical Indicators 2023Are bond returns predictable with real-time macro data?

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2013Bond Pricing and the Macroeconomychapter · 30 shared references 2010Determinants of Bond Risk Premiapreprint · 22 shared references 2013Yield Curve Modeling and Forecastingbook · 21 shared references 2016Risk Premia and Volatilities in a Nonlinear Term Structure Modelarticle · 19 shared references 2012International Bond Risk Premiaarticle · 18 shared references 2019Core and ‘Crust’: Consumer Prices and the Term Structure of Interest Ratesarticle · 16 shared references

Details

Year2013

Typechapter

Published2013-01-01

VenueHandbook of economic forecasting

ISSN-L1574-0706

Languageen

Citations101

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/b978-0-444-53683-9.00007-4

openalex_workW1816786103

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2017

Robust Bond Risk Premia

2010Determinants of Bond Risk Premia