This paper investigates the application of factor investing in corporate bonds. Our results
show that proficiency in the drivers of risk and return, the factors, should be used for bottom-up …

The authors investigate the phenomenon that past winners in the stock market are potential
future winners in the European bond market. By using a data set of EUR-denominated …

Machine learning techniques have gained popularity in recent years but only to a limited
extent in fixed-income research. This article shows some new work in the application of “…

Implementing established corporate bond factors in real-world portfolios poses many
challenges for investors. First, the investment universe is reduced by non-tradable assets. In this …

In this paper we offer a bootstrap‐based version of the Cox specification test for non‐nested
hypothesis to discriminate between ESTAR and MSAR models. Both models are commonly …

We provide a comparison of different finite-sample bias-correction methods for possibly
explosive autoregressive processes. We compare the empirical performance of the downward-…

A simple procedure for the specification of the transition function describing the regime
switch in nonlinear autoregressive models is proposed. This procedure is based on auxiliary …

This paper provides a comprehensive Monte Carlo comparison of different finite-sample
bias-correction methods for autoregressive processes. We consider classic situations where the …

This paper provides a comprehensive Monte Carlo comparison of different finite-sample
biascorrection methods for autoregressive processes. We consider situations where the process …

Linearity testing against smooth transition autoregressive (STAR) models when deterministic
trends are potentially present in the data is considered in this work. Our findings show, in …