Robust forecasting of multiple yield curves
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Publication:2180404
DOI10.1007/978-3-030-26036-1_13zbMath1434.62203OpenAlexW2980891924MaRDI QIDQ2180404
Christoph Gerhart, Eva Lütkebohmert, Marc Weber
Publication date: 14 May 2020
Full work available at URL: https://doi.org/10.1007/978-3-030-26036-1_13
neural networkssupport vector machinesmachine learningmultiple term structuresforecasting of yield curves
Inference from stochastic processes and prediction (62M20) Nonparametric robustness (62G35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Learning and adaptive systems in artificial intelligence (68T05) Neural nets and related approaches to inference from stochastic processes (62M45)
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