Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises
DOI10.1007/S10479-020-03762-XzbMATH Open1461.91342OpenAlexW3080672770MaRDI QIDQ829159FDOQ829159
Authors: Nikolas Stege, Christoph Wegener, Tobias Basse, Frederik Kunze 
Publication date: 5 May 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-020-03762-x
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artificial neural networkscointegrationrisk managementmodeling interest ratesnet interest rate income
Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial networks (including contagion, systemic risk, regulation) (91G45)
Cites Work
- On a Test of Whether one of Two Random Variables is Stochastically Larger than the Other
- Forecasting government bond yields with neural networks considering cointegration
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Statistical analysis of cointegration vectors
- Asymptotic Properties of Residual Based Tests for Cointegration
- Title not available (Why is that?)
- An analysis of variance test for normality (complete samples)
- Reassessing the scope of OR practice: the influences of problem structuring methods and the analytics movement
- Title not available (Why is that?)
- Tests for cointegration. A Monte Carlo comparison
- Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany
- Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives
- On the robustness of cointegration tests when series are fractionally intergrated
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