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Learning forecast-efficient yield curve factor decompositions with neural networks
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 loading functions that have to be specified in advance. In this study, we relax this assumption by building a yield curve forecasting model that learns new factor decompositions...
Persistent link: https://www.econbiz.de/10013355189
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Die Entwicklung der Zinsstrukturkurve : Eine Analyse homogener affiner Mehrfaktormodelle auf Basis des Kalman-Filters
Mayer, Christoph - 2009
Arbitragefreie Zinsstrukturkurvenmodelle -- Projektion der Zinsstruktur und Parameterschätzung -- Empirische … Zinstitelbestands die zentrale Problemstellung. Christoph Mayer analysiert traditionelle einfaktorielle Modelle der Zinsstruktur ebenso …
Persistent link: https://www.econbiz.de/10014014973
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The incremental information in the yield curve about future interest rate risk
Christensen, Bent Jesper; Kjær, Mads Markvart; … - In: Journal of banking & finance 155 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014490508
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A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard - In: Journal of financial econometrics 21 (2023) 4, pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449
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State-space of the Vasicek model for long-term bonds with Kalman filter
Mawonike, Romeo; Ikpe, Dennis; Gyamerah, Samuel Asante - In: International journal of financial engineering 10 (2023) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10014304258
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Riskfree rate dynamics : information, trading, and state space modeling
Wel, Michel van der - 2008
Persistent link: https://www.econbiz.de/10003775902
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Estimation of a joint model for the term structure of interest rates and the macroeconomy
Dewachter, Hans; Lyrio, Marco; Maes, Konstantijn - 2001
Persistent link: https://www.econbiz.de/10001608377
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Estimated US manufacturing production capital and technology based on an estimated dynamic structural economic model
Chen, Baoline; Zadrozny, Peter A. - In: Journal of economic dynamics & control 33 (2009) 7, pp. 1398-1418
Persistent link: https://www.econbiz.de/10003846767
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Estimated US manufacturing production capital and technology based on an estimated dynamic structural economic model
Chen, Baoline; Zadrozny, Peter A. - 2009
Persistent link: https://www.econbiz.de/10003880150
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Further model-based estimates of U.S. total manufacturing production capital and technology, 1949-2005
Chen, Baoline; Zadrozny, Peter A. - 2009
Persistent link: https://www.econbiz.de/10003880152