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Real-Time Macro Information and Bond Return Predictability: A Weighted Group Deep Learning Approach

Site
research-center.amundi.com
Archived
Author
FAN Yinghua, FENG Guanhao, FULOP Andras, LI Junye
Date
2022/09/22
Property
Integromat
Description
This paper proposes a weighted group neural network model and reexamines whether treasury bond returns are predictable when real-time, instead of fully-revised, macro information is used. ...
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