• Corpus ID: 248366417

Sequential Learning and Economic Benefits from Dynamic Term Structure Models

@inproceedings{DubielTeleszynski2022SequentialLA,
  title={Sequential Learning and Economic Benefits from Dynamic Term Structure Models},
  author={Tomasz Dubiel-Teleszynski and Konstantinos Kalogeropoulos and Nikolaos Karouzakis},
  year={2022}
}
This paper explores the statistical and economic importance of restrictions on the dynamics of risk compensation, from the perspective of a real-time Bayesian learner who predicts bond excess returns using a dynamic term structure model (DTSM). We propose a novel methodological framework that successfully handles sequential model search and parameter estimation over the restriction space landscape in real time, allowing investors to revise their beliefs when new information arrives, thus… 

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