Robust forecasting of multiple yield curves

DOI10.1007/978-3-030-26036-1_13zbMATH Open1434.62203OpenAlexW2980891924MaRDI QIDQ2180404FDOQ2180404

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

Recommendations

• Empirical analysis and forecasting of multiple yield curves
• Consistent yield curve prediction
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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)

Cited In (7)

• Empirical analysis and forecasting of multiple yield curves
• Extrapolating Long-Run Yield Curves: An Innovative and Consistent Approach
• Yield curve forecast combinations based on bond portfolio performance
• Forecasting the term structure of government bond yields
• 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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