2007-01-05Masterarbeit DOI: 10.18452/14067
Bond return forecasting in the German financial market
Understanding the composition of the bond return is always a popular topic in the financial markets. There are various factors that influence the bond returns. Therefore, a precise prediction of the bond returns is still under discussion. This paper is enlightened by the papers of Ilmanen (1995, 1997) and Ilmanen and Sayood(2002). They proposed six predictors in forecasting the US government bond excess returns. I analyze the rationale of using those predictors and attempt to calibrate the predictability of the German government bond returns. Firstly, a regression model is used for estimation. Then I use an additive model on the same financial market data set to further improve the model predictability.
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