Data-Driven Duration Management -- Term Structure Forecasting Using Machine Learning

This paper compares different methods for forecasting the term structure of U.S. and European zero-coupon government bonds using both traditional econometric and Machine Learning (ML) approaches. We compare classical models (e.g., Dynamic Nelson-Siegel (DNS) and Principal Component Analysis (PCA)) w…

View Post on Scour ↗

More from arXiv on Scour.