A Factor Analysis Of Bond Risk Premia

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Give me information about Factor Analysis Of Bond Risk Premia at New York University.

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Following is information about Factor Analysis Of Bond Risk Premia at New York University:

This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the macro economy. Using a panel of 131 monthly macroeconomic time series for the sample 1964:1-2007:12, we estimate 8 static factors by the method of asymptotic principal components. We also use Gibb sampling to estimate dynamic factors from the 131 series reorganized into 8 blocks.

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New York University Factor Analysis Of Bond Risk Premia

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