Robust forecasting of multiple yield curves

DOI10.1007/978-3-030-26036-1_13MaRDI QIDQ2180404zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

forecasting of yield curvesmachine learningmultiple term structuresneural networkssupport vector machines

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Inference from stochastic processes and prediction (62M20) Neural nets and related approaches to inference from stochastic processes (62M45) Applications of statistics to actuarial sciences and financial mathematics (62P05) Learning and adaptive systems in artificial intelligence (68T05) Economic time series analysis (91B84)

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Cited in

(8)

• Wavelet neural network model for yield spread forecasting
• Empirical analysis and forecasting of multiple yield curves
• Forecasting of yield curves using local state space reconstruction
• Consistent recalibration of yield curve models
• Yield curve forecast combinations based on bond portfolio performance
• Extrapolating Long-Run Yield Curves: An Innovative and Consistent Approach
• Multiple yield curve modeling and forecasting using deep learning
• Forecasting the term structure of government bond yields

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