Publication Type
Conference Paper
Publication Date
7-2013
Abstract
While economic variables have been used extensively to forecast bond risk premia, little attention has been paid to technical indicators which are widely used by practitioners. In this paper, we study the predictive ability of a variety of technical indicators vis-a-vis the economic variables. We find that technical indicators have significant in both in- and out-of-sample forecasting power. Moreover, we find that using information from both technical indicators and economic variables increases the forecasting performance substantially. We also find that the economic value of bond risk premia forecasts from our methodology is comparable to that of equity risk premium forecasts.
Keywords
Bond risk premium predictability, Economic variables, Technical analysis, Moving average rules, Volume, Out-of-sample forecasts, Principal components
Discipline
Finance | Finance and Financial Management
Research Areas
Finance
Publication
Asian Finance Association Conference 2013, July 15-17, Nanchang, China; 25th Australasian Finance and Banking Conference 2012, Sydney Australia, 2013 July 28
First Page
1
Last Page
50
Identifier
10.2139/ssrn.1914227
City or Country
Sydney, Australia
Citation
GOH, Jeremy; JIANG, Fuwei; TU, Jun; and ZHOU, Guofu.
Forecasting government bond risk premia using technical indicators. (2013). Asian Finance Association Conference 2013, July 15-17, Nanchang, China; 25th Australasian Finance and Banking Conference 2012, Sydney Australia, 2013 July 28. 1-50.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/5173
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://ssrn.com/abstract=1914227