Related papers: Interest rates mapping
Level, slope, and curvature are three commonly-believed principal components in interest rate term structure and are thus widely used in modeling. This paper characterizes the heterogeneity of how misspecified such models are through time.…
A general rate estimation method is proposed that is based on studying the in-sample evolution of appropriately chosen diverging/converging statistics. The proposed rate estimators are based on simple least squares arguments, and are shown…
In this paper, we present own point of view how the unexpected fluctuations of the long-term real interest rate can be explained. We describe a macroeconomic environment by the modification of the fundamental macroeconomic equilibrium model…
In finance, economics and many other fields, observations in a matrix form are often observed over time. For example, many economic indicators are obtained in different countries over time. Various financial characteristics of many…
Click-Through Rate (CTR) prediction is a core task in online personalization platform. A key step for CTR prediction is to learn accurate user representation to capture their interests. Generally, the interest expressed by a user is…
This paper analyzes Libor interest rates for seven different maturities and referred to operations in British Pounds, Euro, Swiss Francs and Japanese Yen, during the period years 2001 to 2015. The analysis is performed by means of two…
We develop a general term structure framework taking stochastic discontinuities explicitly into account. Stochastic discontinuities are a key feature in interest rate markets, as for example the jumps of the term structures in…
Fractal geometry is a fundamental approach for describing the complex irregularities of the spatial structure of point patterns. The present research characterizes the spatial structure of the Swiss population distribution in the three…
The literature on using yield curves to forecast recessions customarily uses 10-year--three-month Treasury yield spread without verification on the pair selection. This study investigates whether the predictive ability of spread can be…
The main purpose of this work is to derive a partial differential equation for the reserves of life insurance liabilities subject to stochastic interest rates where the benefits and premiums depend directly on changes in the interest rate…
Used to investigate the presence of distinctive recurrent behaviours in natural processes, the recurrence plots can be applied to the analysis of economic data, and, in particular, to the characterization of exchange rates of currencies…
Cartograms combine statistical and geographical information in thematic maps, where areas of geographical regions (e.g., countries, states) are scaled in proportion to some statistic (e.g., population, income). Cartograms make it possible…
Time-varying parameters (TVPs) models are frequently used in economics to capture structural change. I highlight a rather underutilized fact -- that these are actually ridge regressions. Instantly, this makes computations, tuning, and…
The Interbank Offered Rate is a vital benchmark interest rate in the financial markets of every country to which financial contracts are tied. In the light of the recent LIBOR manipulation incident, this paper seeks to address the fear that…
We propose a rate equation approach to compute two vertex correlations in scale-free growing network models based in the preferential attachment mechanism. The formalism, based on previous work of Szab\'o \textit{et al.} [Phys. Rev. E…
As part of Basel II's incremental risk charge (IRC) methodology, this paper summarizes our extensive investigations of constructing transition probability matrices (TPMs) for unsecuritized credit products in the trading book. The objective…
This paper reports empirical evidence that a neural networks model is applicable to the statistically reliable prediction of foreign exchange rates. Time series data and technical indicators such as moving average, are fed to neural nets to…
We consider estimation of covariance matrices and their inverses (a.k.a. precision matrices) for high-dimensional stationary and locally stationary time series. In the latter case the covariance matrices evolve smoothly in time, thus…
Outstanding achievements of graph neural networks for spatiotemporal time series analysis show that relational constraints introduce an effective inductive bias into neural forecasting architectures. Often, however, the relational…
Accurately fitting the term structure of interest rates is critical to central banks and other market participants. The Nelson-Siegel and Nelson-Siegel-Svensson models are probably the best-known models for this purpose due to their…