Kauffmann, Piero C.; Takada, Hellinton H.; Terada, Ana T.; … - In: Econometrics : open access journal 10 (2022) 2, pp. 1-15
Most factor-based forecasting models for the term structure of interest rates depend on a fixed number of factor … forecasting model that learns new factor decompositions directly from data for an arbitrary number of factors, combining a …