Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching by Siyu Bie, Francis X. Diebold, Jingyu He, Junye Li :: SSRN - home

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Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching by Siyu Bie, Francis X. Diebold, Jingyu He, Junye Li :: SSRN

We explore tree-based macroeconomic regime-switching in the context of the dynamic Nelson-Siegel (DNS) yield-curve model.

finance · ml · paper

September 26, 2024 at 11:32:06 AM EDT * · permalink

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https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4934442

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