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- W2123202280 abstract "We propose a multivariate nonparametric technique for generating reliable shortterm historical yield curve scenarios and confidence intervals. The approach is based on a Functional Gradient Descent (FGD) estimation of the conditional mean vector and covariance matrix of a multivariate interest rate series. It is computationally feasible in large dimensions and it can account for non-linearities in the dependence of interest rates at all available maturities. Based on FGD we apply filtered historical simulation to compute reliable out-of-sample yield curve scenarios and confidence intervals. We back-test our methodology on daily USD bond data for forecasting horizons from 1 to 10 days. Based on several statistical performance measures we find significant evidence of a higher predictive power of our method when compared to scenarios generating techniques based on (i) factor analysis, (ii) a multivariate CCC-GARCH model, or (iii) an exponential smoothing covariances estimator as in the RiskMetricsTM approach." @default.
- W2123202280 created "2016-06-24" @default.
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- W2123202280 date "2007-01-01" @default.
- W2123202280 modified "2023-09-24" @default.
- W2123202280 title "Accurate Short-Term Yield Curve Forecasting Using Functional Gradient Descent" @default.
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- W2123202280 doi "https://doi.org/10.2139/ssrn.999515" @default.
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