Modeling the Yield Curve of BRICS Countries: Parametric vs. Machine Learning Techniques

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...

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Bibliographic Details
Main Authors: Oleksandr Castello, Marina Resta
Format: Article
Language:English
Published: MDPI AG 2022-02-01
Series:Risks
Subjects:
BRICS
De Rezende–Ferreira model
Artificial Neural Network (ANN)
Feed–Forward Neural Network (FFNN)
emerging markets
term structure
Online Access:https://www.mdpi.com/2227-9091/10/2/36

Internet

https://www.mdpi.com/2227-9091/10/2/36

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