Forecasting the U.S. Treasury Yield Curve: A Distributionally Robust Machine Learning Approach for Interest Rate Risk Management (opens in new tab)

arXiv:2601.04608v2 Announce Type: replace-cross Abstract: U.S. Treasury yields are central to global asset pricing but are noisy and subject to policy uncertainty, supply-demand forces, and behavioral effects, exposing forecast users to downside risk. We formulate yield curve forecasting as a decision problem under distributional uncertainty and propose a distributionally robust ensemble framework that combines parametric factor models with machine-learning forecasts. A factor-augmented Dynam...