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CSDA
2006
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CSDA 2006
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A dynamic model of expected bond returns: A functional gradient descent approach
13 years 11 months ago
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dse.univr.it
We propose a multivariate methodology based on Functional Gradient Descent to estimate and forecast time-varying expected bond returns. Backtesting our procedure on US monthly dat...
Francesco Audrino, Giovanni Barone-Adesi
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