Noël Amenc, Philippe Malaise, Lionel Martellini, Daphné Sfeir: This paper presents strong evidence of predictability in various fixed-income style portfolio returns using a robust recursive modelling approach based on multi-factor models for the return on bond indices.
Professor of Finance, EDHEC Graduate School of BusinessHead of Research, Misys Asset Management Systems
Professor of Finance, EDHEC Graduate School of Business
Professor of Finance, EDHEC Graduate School of BusinessScientific Director, EDHEC Risk and Asset Management Research Centre
Senior Research Engineer, EDHEC Risk and AssetManagement Research Centre
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|Research Cluster :||Finance|