Related papers: Interest rates mapping
The term structure of interest rates or yield curve is a function relating the interest rate with its own term. Nonlinear regression models of Nelson-Siegel and Svensson were used to estimate the yield curve using a sample of historical…
This study examines the effects of macroeconomic policies on financial markets using a novel approach that combines Machine Learning (ML) techniques and causal inference. It focuses on the effect of interest rate changes made by the US…
In economic studies and popular media, interest rates are routinely cited as a major factor behind commodity price fluctuations. At the same time, the transmission channels are far from transparent, leading to long-running debates on the…
A large class of trading strategies focus on opportunities offered by the yield curve. In particular, a set of yield curve trading strategies are based on the view that the yield curve mean-reverts. Based on these strategies' positive…
In this paper, we applied the multifractal detrended fluctuation analysis to the daily means of wind speed measured by 119 weather stations distributed over the territory of Switzerland. The analysis was focused on the inner time…
Unstructured data are a promising new source of information that insurance companies may use to understand their risk portfolio better and improve the customer experience. However, these novel data sources are difficult to incorporate into…
We determine the number of statistically significant factors in a forecast model using a random matrices test. The applied forecast model is of the type of Reduced Rank Regression (RRR), in particular, we chose a flavor which can be seen as…
The reconstruction of geographical data over a century, allows to figuring out the evolution of the French railway landscape, and how it has been impacted by major events (eg.: WWII), or longer time span processes : industry outsourcing,…
Explicitly taking into account the risk incurred when borrowing at a shorter tenor versus lending at a longer tenor ("roll-over risk"), we construct a stochastic model framework for the term structure of interest rates in which a frequency…
Increasing availability and quality of actual, as opposed to scheduled, open transport data offers new possibilities for capturing the spatiotemporal dynamics of the railway and other networks of social infrastructure. One way to describe…
Rate distortion theory was developed for optimizing lossy compression of data, but it also has a lot of applications in statistics. In this paper we will see how rate distortion theory can be used to analyze a complicated data set involving…
In general, homeowners refinance in response to a decrease in interest rates, as their borrowing costs are lowered. However, it is worth investigating the effects of refinancing after taking the underlying costs into consideration. Here we…
Empirical rate-and-state friction laws are widely used in geophysics and engineering to simulate interface slip. They postulate that the friction coefficient depends on the local slip rate and a state variable that reflects the history of…
The Secured Overnight Funding Rate (SOFR) is becoming the main Risk-Free Rate benchmark in US dollars, thus interest rate term structure models need to be updated to reflect the key features exhibited by the dynamics of SOFR and the forward…
Mathematical methods of analysis of data and of predicting growth are discussed. The starting point is the analysis of the growth rates, which can be expressed as a function of time or as a function of the size of the growing entity.…
Functional time series data frequently appears in econometric analyses, where the functions of interest are subject to some shape constraints, including monotonicity and convexity, as typical of the estimation of the Lorenz curve. This…
Specialized topics on financial data analysis from a numerical and physical point of view are discussed. They pertain to the analysis of crash prediction in stock market indices and to the persistence or not of coherent and random sequences…
Miss-ratio curve (MRC), or equivalently hit-ratio curve (HRC), construction techniques have recently gathered the attention of many researchers. Recent advancements have allowed for approximating these curves in constant time, allowing for…
Contour maps are widely used to display estimates of spatial fields. Instead of showing the estimated field, a contour map only shows a fixed number of contour lines for different levels. However, despite the ubiquitous use of these maps,…
Recent highly cited research uses time-series evidence to argue the decline in interest rates led to a large rise in economic profits and markups. We show the size of these estimates is sensitive to the sample start date: The rise in…