Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models
نویسندگان
چکیده
منابع مشابه
Functional Dynamic Factor Models with Application to Yield Curve Forecasting
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بسیاری از پدیده ها در جهان ما اساساً غیرخطی هستند، و توسط معادلات غیرخطی بیان شده اند. از آنجا که ظهور کامپیوترهای رقمی با عملکرد بالا، حل مسایل خطی را آسان تر می کند. با این حال، به طور کلی به دست آوردن جوابهای دقیق از مسایل غیرخطی دشوار است. روش عددی، به طور کلی محاسبه پیچیده مسایل غیرخطی را اداره می کند. با این حال، دادن نقاط به یک منحنی و به دست آوردن منحنی کامل که اغلب پرهزینه و ...
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ژورنال
عنوان ژورنال: International Review of Financial Analysis
سال: 2017
ISSN: 1057-5219
DOI: 10.1016/j.irfa.2017.05.003