Accurate Yield Curve Scenarios Generation using Functional Gradient Descent
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More about this item
KeywordsConditional mean and volatility estimation; Filtered Historical Simulation; Functional Gradient Descent; Term structure; Multivariate CCC-GARCH models;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-11-19 (All new papers)
- NEP-ECM-2005-11-19 (Econometrics)
- NEP-FOR-2005-11-19 (Forecasting)
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