2008
DOI: 10.1016/j.physa.2008.02.069
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Interest rates mapping

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Cited by 12 publications
(13 citation statements)
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“…Along this line, a study was conducted (Kanevski et al, 2008;Kanevski and Timonin, 2010) using spatial statistics, to map the yield curves into a two-dimensional space (maturity and time). Then, via interpolation using geostatistical or machine learning models, the authors reconstructed full yield curves from a specified number of points considered in the data as inputs.…”
Section: Machine Learning Models In Fixed Income Applicationsmentioning
confidence: 99%
See 1 more Smart Citation
“…Along this line, a study was conducted (Kanevski et al, 2008;Kanevski and Timonin, 2010) using spatial statistics, to map the yield curves into a two-dimensional space (maturity and time). Then, via interpolation using geostatistical or machine learning models, the authors reconstructed full yield curves from a specified number of points considered in the data as inputs.…”
Section: Machine Learning Models In Fixed Income Applicationsmentioning
confidence: 99%
“…See, for example, the works of Agrawal et al (2013), Ballings et al (2015), Booth et al (2014a), Dunis et al (2016), Eilers et al (2014) and Vui et al (2013), just to mention a few studies. Although the literature in this field is abundant, as well as in foreign exchange markets (Choudhry et al, 2009(Choudhry et al, , 2012Fletcher, 2012;Fletcher and Shawe-Taylor, 2013;Gradojevic and Yang, 2006;Huang et al, 2007), much less scientific work has been produced covering machine learning in fixed income markets (Castellani and Santos, 2006;Dunis and Morrison, 2007;Kanevski et al, 2008;Kanevski and Timonin, 2010;Sambasivan and Das, 2017). This is the case despite the paramount importance of this asset class for any economy.…”
Section: Introductionmentioning
confidence: 99%
“…The investigation pertaining to the future risk-free rate uncertainty undertaken in this paper fits into the strand of literature that seek to describe the fluctuations of interest rates for risk management and trading strategies optimization in the fixed income market (see Kanevski, Maignan, Pozdnoukhov and Timonin, 2008;Cont, 2005;Jamshidian and Zhu, 1997, for example). For the purpose of risk management, short term interest rate fluctuation is the subject of interest.…”
Section: Discussionmentioning
confidence: 99%
“…Some applications also took place outside the field of geosciences, such as in finance (Kanevski et al, 2008) or in medical imaging (Pham, 2012).…”
Section: Background On Multiple-point Geostatisticsmentioning
confidence: 99%