Predicting Bond Return Predictability

Abstract

and participants at the Econometrics Workshop at University of Pennsylvania (2017) and research seminars at Aarhus University (2019) for many constructive comments and suggestions. Jonas N. Eriksen and Martin Thyrsgaard acknowledge support from the Danish Council of Independent Research (DFF 7024-00020B and DFF 9033-00003B). Part of this paper was previously circulated under the title "Statistical tests for equal predictive ability across multiple forecasting methods".