Regime shifts, risk premiums in the term structure, and the business cycle
Recent evidence indicates that using multiple forward rates sharply predicts future excess
returns on US Treasury Bonds, with the R 2's being around 30%. The projection coefficients …
returns on US Treasury Bonds, with the R 2's being around 30%. The projection coefficients …
Regime-Shifts, Risk Premiums in the Term Structure, and the Business Cycle
R Bansal, G Tauchen, H Zhou - 2003 - federalreserve.gov
We examine various dynamic term structure models for monthly US Treasury yields from
1964 to 2001. Of particular interest is the predictability of bond excess returns. Recent …
1964 to 2001. Of particular interest is the predictability of bond excess returns. Recent …
Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle
R Bansal, G Tauchen, H Zhou - Journal of Business & …, 2004 - search.proquest.com
Recent evidence indicates that using multiple forward rates sharply predicts future excess
returns on US Treasury Bonds, with the R2's being around 30%. The projection coefficients …
returns on US Treasury Bonds, with the R2's being around 30%. The projection coefficients …
[PDF][PDF] Regime-Shifts, Risk Premiums in the Term Structure, and the Business Cycle
R Bansal, G Tauchen, H Zhou - academia.edu
Recent evidence indicates that using multiple forward rates sharply predicts future excess
returns on US Treasury bonds—the R2's being around 30%. The projection coefficients in …
returns on US Treasury bonds—the R2's being around 30%. The projection coefficients in …
[PDF][PDF] Regime-Shifts, Risk Premiums in the Term Structure, and the Business Cycle
R Bansal, G Tauchen, H Zhou - Citeseer
Recent evidence indicates that using multiple forward rates sharply predicts future excess
returns on US Treasury bonds—the R2's being around 30%. The projection coefficients in …
returns on US Treasury bonds—the R2's being around 30%. The projection coefficients in …
Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle
R Bansal, G Tauchen, H Zhou - Journal of Business & Economic Statistics, 2004 - JSTOR
Recent evidence indicates that using multiple forward rates sharply predicts future excess
returns on US Treasury Bonds, with the R 2's being around 30%. The projection coefficients …
returns on US Treasury Bonds, with the R 2's being around 30%. The projection coefficients …
Regime-shifts, risk premiums in the term structure, and the business cycle
R Bansal, G Tauchen, H Zhou - 2003 - fedinprint.org
We examine various dynamic term structure models for monthly US Treasury yields from
1964 to 2001. Of particular interest is the predictability of bond excess returns. Recent …
1964 to 2001. Of particular interest is the predictability of bond excess returns. Recent …
Regime-shifts, risk premiums in the term structure, and the business cycle
R Bansal, G Tauchen, H Zhou - 2003 - econpapers.repec.org
We examine various dynamic term structure models for monthly US Treasury yields from
1964 to 2001. Of particular interest is the predictability of bond excess returns. Recent …
1964 to 2001. Of particular interest is the predictability of bond excess returns. Recent …
Regime-shifts, risk premiums in the term structure, and the business cycle
R Bansal, G Tauchen, H Zhou - 2003 - ideas.repec.org
We examine various dynamic term structure models for monthly US Treasury yields from
1964 to 2001. Of particular interest is the predictability of bond excess returns. Recent …
1964 to 2001. Of particular interest is the predictability of bond excess returns. Recent …
Regime-Shifts, Risk Premiums in the Term Structure, and the Business Cycle
R Bansal, G Tauchen, H Zhou - Duke University, Economics …, 2003 - papers.ssrn.com
We examine various dynamic term structure models for monthly US Treasury yields from
1964 to 2001. Of particular interest is the predictability of bond excess returns. Recent …
1964 to 2001. Of particular interest is the predictability of bond excess returns. Recent …