Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent
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- Fabio Trojani, 2007. "Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(4), pages 591-623, Fall.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Klaus Wohlrabe & Teresa Buchen, 2014.
"Assessing the Macroeconomic Forecasting Performance of Boosting: Evidence for the United States, the Euro Area and Germany,"
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- Teresa, Buchen & Wohlrabe, Klaus, 2014. "Assessing the Macroeconomic Forecasting Performance of Boosting: Evidence for the United States, the Euro Area, and Germany," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100626, Verein für Socialpolitik / German Economic Association.
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- Audrino, Francesco, 2014. "Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 43-60.
More about this item
KeywordsConditional mean and variance estimation; Filtered Historical Simulation; Functional Gradient Descent; Term structure; Multivariate CCC-GARCH models;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-07-20 (All new papers)
- NEP-CMP-2007-07-20 (Computational Economics)
- NEP-ECM-2007-07-20 (Econometrics)
- NEP-ETS-2007-07-20 (Econometric Time Series)
- NEP-FOR-2007-07-20 (Forecasting)
- NEP-MAC-2007-07-20 (Macroeconomics)
- NEP-MON-2007-07-20 (Monetary Economics)
- NEP-RMG-2007-07-20 (Risk Management)
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