A genetic algorithm estimation of the term structure of interest rates

DOI10.1016/j.csda.2008.10.030zbMath1453.62096OpenAlexW2017005911MaRDI QIDQ961416

Ricardo Gimeno, Juan M. Nave

Publication date: 30 March 2010

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

Full work available at URL: https://doi.org/10.1016/j.csda.2008.10.030

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Problem solving in the context of artificial intelligence (heuristics, search strategies, etc.) (68T20)

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Cites Work

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• Forecasting the term structure of government bond yields
• The macroeconomy and the yield curve: a dynamic latent factor approach
• A genetic estimation algorithm for parameters of stochastic ordinary differential equations
• Fitting piecewise linear threshold autoregressive models by means of genetic algorithms
• Editorial: 2nd special issue on applications of optimization heuristics to estimation and modelling problems
• GSA-based maximum likelihood estimation for threshold vector error correction model
• Synthesis of the \(\beta\)-distribution as an aid to stochastic global optimization

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