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Robust Bond Risk Premia

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NBER2017-06-01 更新2025-01-04 收录
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A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small-sample distortions. We propose more robust tests, including a

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2017-06-01
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