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    CSDA
    2006
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    A dynamic model of expected bond returns: A functional gradient descent approach
    13 years 5 months ago
    A dynamic model of expected bond returns: A functional gradient descent approach
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    We propose a multivariate methodology based on Functional Gradient Descent to estimate and forecast time-varying expected bond returns. Backtesting our procedure on US monthly dat...
    Francesco Audrino, Giovanni Barone-Adesi
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