This paper introduces a unified factor overnight GARCH-Itô Models model for large volatility matrix estimation and prediction. To account for whole-day market dynamics, the proposed model has two different instantaneous factor volatility processes for the open-to-close and close-to-open...

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...

This paper provides clear cut evidence that the slope and curvature factors of the yield curve contain more information about future changes in economic activity than the term spread alone, often used in practice as an indicator of future economic conditions. These two factors constitute...