A dynamic model of expected bond returns: A functional gradient descent approach

Computational Statistics and Data Analysis

Volumn 51, Issue 4, 2006, Pages 2267-2277

  Audrino, Francesco ^a   Barone Adesi, Giovanni ^a  

^a UNIVERSITY OF LUGANO   (Switzerland)

Author keywords

Bond returns; Functional gradient descent; Semi parametric VAR GARCH models; Term structure

Indexed keywords

DATA REDUCTION; FORECASTING; MATHEMATICAL MODELS; PARAMETER ESTIMATION;

BOND RETURNS; FUNCTIONAL GRADIENT DESCENT; SEMI-PARAMETRIC VAR-GARCH MODELS; TERM STRUCTURES;

GRADIENT METHODS;

EID: 33750990745     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.07.024     Document Type: Article

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