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  • Search: subject:"Conditional mean and variance estimation"
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Year of publication
Subject
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Conditional mean and variance estimation 1 Filtered Historical Simulation 1 Functional Gradient Descent 1 Multivariate CCC-GARCH models 1 Term structure 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Audrino, Francesco 1 Trojani, Fabio 1
Institution
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School of Economics and Political Science, Universität St. Gallen 1
Published in...
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University of St. Gallen Department of Economics working paper series 2007 1
Source
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RePEc 1
Showing 1 - 1 of 1
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Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent
Audrino, Francesco; Trojani, Fabio - School of Economics and Political Science, Universität … - 2007
We propose a multivariate nonparametric technique for generating reliable shortterm historical yield curve scenarios and confidence intervals. The approach is based on a Functional Gradient Descent (FGD) estimation of the conditional mean vector and covariance matrix of a multivariate interest...
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