Predicting bond betas using macro-finance variables

Andrea Cipollini, Charlotte Christiansen, Nektarios Aslanidis

Risultato della ricerca: Articlepeer review

3 Citazioni (Scopus)

Abstract

We predict bond betas conditioning on a number of macro-finance variables. We explore differences across long-term government bonds, investment grade corporate bonds, and high yield corporate bonds. We conduct out-of-sample forecasting using the new approach of combining predictor variables through complete subset regressions (CSR). We consider the robustness of CSR forecasts across the 1-month, 3-month, and 12-month forecasting horizons. The CSR method performs well in predicting bond betas.
Lingua originaleEnglish
pagine (da-a)193-199
Numero di pagine7
RivistaFinance Research Letters
Volume29
Stato di pubblicazionePublished - 2019

All Science Journal Classification (ASJC) codes

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