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

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URL
https://research-center.amundi.com/article/real-time-macro-information-and-bond-return-predictability-weighted-group-deep-learning-approach
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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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