Abstract

http://ssrn.com/abstract=1914227
 
 

References (66)



 
 

Citations (3)



 


 



Forecasting Government Bond Risk Premia Using Technical Indicators


Jeremy Goh


Singapore Management University; Singapore Management University - Lee Kong Chian School of Business

Fuwei Jiang


Singapore Management University - Lee Kong Chian School of Business

Jun Tu


Singapore Management University - Lee Kong Chian School of Business

Guofu Zhou


Washington University in St. Louis - Olin School of Business

July 28, 2013

25th Australasian Finance and Banking Conference 2012
Asian Finance Association (AsFA) 2013 Conference

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.

Number of Pages in PDF File: 50

Keywords: Bond risk premium predictability, Economic variables, Technical analysis, Moving average rules, Volume, Out-of-sample forecasts, Principal components

JEL Classification: C53, C58, G11, G12, G17

working papers series


Download This Paper

Date posted: August 22, 2011 ; Last revised: November 13, 2013

Suggested Citation

Goh, Jeremy and Jiang, Fuwei and Tu, Jun and Zhou, Guofu, Forecasting Government Bond Risk Premia Using Technical Indicators (July 28, 2013). 25th Australasian Finance and Banking Conference 2012; Asian Finance Association (AsFA) 2013 Conference. Available at SSRN: http://ssrn.com/abstract=1914227 or http://dx.doi.org/10.2139/ssrn.1914227

Contact Information

Jeremy Goh
Singapore Management University ( email )
50 Stamford Rd.
Singapore 912409, 178899
Singapore
Singapore Management University - Lee Kong Chian School of Business ( email )
469 Bukit Timah Road
Singapore 912409
Singapore

Fuwei Jiang
Singapore Management University - Lee Kong Chian School of Business ( email )
50 Stamford Road
Singapore, 178899
Singapore
Jun Tu (Contact Author)
Singapore Management University - Lee Kong Chian School of Business ( email )
50 Stamford Road
#04-01
Singapore, 178899
Singapore

Guofu Zhou
Washington University in St. Louis - Olin School of Business ( email )
Washington University
Campus Box 1133
St. Louis, MO 63130-4899
United States
314-935-6384 (Phone)
314-658-6359 (Fax)
HOME PAGE: http://apps.olin.wustl.edu/faculty/zhou/
Feedback to SSRN


Paper statistics
Abstract Views: 1,876
Downloads: 433
Download Rank: 36,488
References:  66
Citations:  3

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.625 seconds