Corrigendum: Bond Risk Premiums with Machine Learning

In this note we revisit the empirical results in Bianchi, Büchner, and Tamoni (2020) after correcting for using information not available at the time the forecast was made. Although we note a decrease in out-of-sample $R^2$, the revised analysis confirms that bond excess return predictability from neural networks remains statistically and economically significant.

• View at Publisher
• View at Scopus