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Corrigendum: Bond Risk Premiums with Machine Learning.
- Source :
- Review of Financial Studies; Feb2021, Vol. 34 Issue 2, p1090-1103, 14p
- Publication Year :
- 2021
-
Abstract
- In this note we revisit the empirical results in Bianchi, Büchner, and Tamoni (2020) after correcting for using information not available at the time the forecast was made. Although we note a decrease in out-of-sample |$R^2$| , the revised analysis confirms that bond excess return predictability from neural networks remains statistically and economically significant. [ABSTRACT FROM AUTHOR]
- Subjects :
- BONDS (Finance)
MACHINE learning
RISK premiums
Subjects
Details
- Language :
- English
- ISSN :
- 08939454
- Volume :
- 34
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Review of Financial Studies
- Publication Type :
- Academic Journal
- Accession number :
- 148344580
- Full Text :
- https://doi.org/10.1093/rfs/hhaa098