Modeling the Yield Curve of BRICS Countries: Parametric vs. Machine Learning Techniques
We compare parametric and machine learning techniques (namely: Neural Networks) for in–sample modeling of the yield curve of the BRICS countries (Brazil, Russia, India, China, South Africa). To such aim, we applied the Dynamic De Rezende–Ferreira five–factor model with time–varying decay parameters...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2022-02-01
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Series: | Risks |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-9091/10/2/36 |