Bond return predictability: Macro factors and machine learning methods

Keyphrases

• Machine Learning Techniques 100%
• Macro Factors 100%
• Return Predictability 100%
• Macroeconomic Variables 75%
• Treasury Bonds 50%
• Bond Returns 50%
• Nonlinear Relationship 25%
• Macroeconomic Factors 25%
• Return Prediction 25%
• Macroeconomic Determinants 25%
• Yield Curve 25%
• Bond Valuation 25%
• Bond Risk Premia 25%
• Appropriate Machines 25%

Economics, Econometrics and Finance

• Machine Learning 100%
• Macroeconomic Variable 75%
• Macroeconomics 50%
• Public Bond 50%
• Investors 25%
• Yield Curve 25%