Kauffmann, Piero C.; Takada, Hellinton H.; Terada, Ana T.; … - In: Econometrics : open access journal 10 (2022) 2, pp. 1-15
loading functions that have to be specified in advance. In this study, we relax this assumption by building a yield curve … Gaussian linear state-space model with a neural network that generates smooth yield curve factor loadings. In order to control … differentiation. An evaluation of the model’s performance on 14 years of historical data of the Brazilian yield curve shows that the …