PREDICTING RETURNS IN US TREASURIES: DO TENTS MATTER?
2018 ◽
Vol 21
(07)
◽
pp. 1850047
Keyword(s):
We look at the economic significance and at the robustness of the new-generation, tent-shaped return-predicting factors in US Treasuries. We find that, in itself, the precise tent shape is neither robust nor important for predictability. However, we explain why the high number of regressors needed to build a tent factor are required for high predictability, and we provide an economic interpretation for the finding.
2017 ◽
Vol 70
(18)
◽
pp. B122
2017 ◽
Vol 92
(3)
◽
pp. 477-485
◽
1984 ◽
Vol 42
◽
pp. 376-379
1992 ◽
Vol 50
(2)
◽
pp. 1092-1093
Keyword(s):
1987 ◽
Vol 45
◽
pp. 466-467
◽
1994 ◽
Vol 52
◽
pp. 164-165
1993 ◽
Vol 51
◽
pp. 866-867
Keyword(s):
1990 ◽
Vol 48
(1)
◽
pp. 478-479