A differential evolution algorithm for yield curve estimation
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Publication:2228852
DOI10.1016/J.MATCOM.2016.04.004OpenAlexW2404894666MaRDI QIDQ2228852FDOQ2228852
Authors: Leandro Maciel, Fernando Gomide, Rosangela Ballini 
Publication date: 19 February 2021
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2016.04.004
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Game theory, economics, finance, and other social and behavioral sciences (91-XX) Operations research, mathematical programming (90-XX)
Cites Work
- Forecasting the term structure of government bond yields
- Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Differential evolution. A practical approach to global optimization. With CD-ROM.
- A fuzzy adaptive differential evolution algorithm
- Genetic algorithms for portfolio selection problems with minimum transaction lots
- Metaheuristics for the portfolio selection problem
- Improved differential evolution approach based on cultural algorithm and diversity measure applied to solve economic load dispatch problems
- Pollution source identification using a coupled diffusion model with a genetic algorithm
- Generating trading rules on the stock markets with genetic programming.
- Comparison of non-linear optimization algorithms for yield curve estimation
- Smooth transition autoregressive models. New approaches to the model selection problem
- A genetic algorithm estimation of the term structure of interest rates
- Minimum distance estimation and testing for interest rate models
- An evaluation of some popular investment strategies under stochastic interest rates
Cited In (4)
- A genetic algorithm estimation of the term structure of interest rates
- Artificial intelligence combined with nonlinear optimization techniques and their application for yield curve optimization
- Fitting dynamically consistent forward rate curves: algorithm and comparison
- Multiple yield curve modeling and forecasting using deep learning
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