Castello, Oleksandr; Resta, Marina - In: Risks : open access journal 10 (2022) 2, pp. 1-18
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...
