What drives short rate dynamics? A functional gradient descent approach

DOI10.1007/S10614-011-9310-YMaRDI QIDQ429537zbMATH OpenOpenAlexFDO

Authors Francesco Audrino

Publication date 19 June 2012

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL http://doc.rero.ch/record/321656/files/10614_2011_Article_9310.pdf

zbMATH Keywords

macroeconomic variablesshort rate processfunctional gradient descenttime-varying drift and volatility dynamics

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Nonparametric Pricing of Interest Rate Derivative Securities
• The macroeconomy and the yield curve: a dynamic latent factor approach

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(2)

• Boosting techniques for nonlinear time series models
• A dynamic model of expected bond returns: A functional gradient descent approach

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