A dynamic model of expected bond returns: A functional gradient descent approach

DOI10.1016/J.CSDA.2006.07.024zbMath1157.62516OpenAlexW2063869674MaRDI QIDQ1010570

Francesco Audrino, Giovanni Barone-Adesi

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://doc.rero.ch/record/21348/files/baroneadesi_CSDA_2006.pdf

zbMATH Keywords

term structurefunctional gradient descentbond returnssemi-parametric VAR-GARCH models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Greedy algorithms for prediction ⋮ Boosting techniques for nonlinear time series models ⋮ Multi-step perturbation solution of nonlinear differentiable equations applied to an econometric analysis of productivity

Cites Work

• Greedy function approximation: A gradient boosting machine.
• Time series: theory and methods.
• Additive logistic regression: a statistical view of boosting. (With discussion and a rejoinder by the authors)

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