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

machine learningsupport vector machinesneural networksmultiple term structuresforecasting of yield curves

Mathematics Subject Classification ID

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

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Cited in

(8)

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

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