|
|
|
|
|
Hokuto Ishii
In this paper, we examined and compared the forecast performances of the dynamic Nelson?Siegel (DNS), dynamic Nelson?Siegel?Svensson (DNSS), and arbitrage-free Nelson?Siegel (AFNS) models after the financial crisis period. The best model for the forecast...
ver más
|
|
|
|
|
|
|
|
|
|
|
Florin Stoican and Paul Irofti
The l1
l
1
relaxations of the sparse and cosparse representation problems which appear in the dictionary learning procedure are usually solved repeatedly (varying only the parameter vector), thus making them well-suited to a multi-parametric interpretat...
ver más
|
|
|
|
|
|
|
|
|
|
|
Maj-Britt Nordfang
In this paper, an Adjustable Rate Mortgage (ARM) and a Fixed Rate Mortgage (FRM) are formalized and studied in a simple continuous-time setting under the assumption of a simple one-factor Affine Term Structure (ATS). Through an application of existing re...
ver más
|
|
|
|
|
|
|
|
|
|
|
J. Marcelo Ochoa
Pág. pp. 155 - 184
This paper attempts to provide an economic interpretation of the factors thatdrive the movements of interest rates of bonds of different maturities in acontinuous-time no-arbitrage term structure model for Chile. The dynamics ofyields in the model are ex...
ver más
|
|
|
|
|
|