Kratsios, Anastasis; Hyndman, Cody - In: Risks : open access journal 8 (2020) 2/40, pp. 1-30
A regularization approach to model selection, within a generalized HJM framework, is introduced, which learns the closest arbitrage-free model to a prespecified factor model. This optimization problem is represented as the limit of a one-parameter family of computationally tractable penalized...
