负荷预测matlab代码-brp-survey:论文“预期的业务条件和债券风险溢价”的复制材料

上传者: 38681286 | 上传时间: 2022-08-01 13:31:09 | 文件大小: 48.72MB | 文件类型: ZIP
负荷预测数学代码预期的业务状况和债券风险溢价 作者:乔纳斯·尼加德·埃里克森(Jonas Nygaard Eriksen) 维护者:Jonas Nygaard Eriksen() 论文状态:接受发表在《金融与定量分析杂志》(JFQA)上 抽象的 本文使用专业预测员调查的调查预测,通过对未来业务状况的预期来研究债券风险溢价的可预测性。 我们表明,预期业务条件始终会影响债券的超额收益,并且将预期业务条件包含在标准预测回归中相对于使用从当前期限结构或宏观经济变量得出的信息的模型而言,可以提高预测性能。 结果在实时的样本外验证中得到了证实,该模型在统计上和从在债券市场上交易的均值方差投资者的角度对模型的预测准确性进行了评估。 复制文件 该存储库包含用于复制“预期业务条件和债券风险溢价”一文中提供的经验结果的源文件。 具体来说,该存储库包含用于生成经验结果的所有Matlab文件,以及本文中出现的表格和图形。 生成图形和表格 要重新创建结果,只需在Matlab中运行main_brp.m 。 它调用所有依赖关系,并将tex表和eps图形存储在tex/figures和tex/tables文件夹中。 数

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