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Multiple Yield Curve Modeling and Forecasting using Deep Learning

Authors :
Richman, Ronald
Scognamiglio, Salvatore
Source :
ASTIN Bull. 54 (2024) 463-494
Publication Year :
2024

Abstract

This manuscript introduces deep learning models that simultaneously describe the dynamics of several yield curves. We aim to learn the dependence structure among the different yield curves induced by the globalization of financial markets and exploit it to produce more accurate forecasts. By combining the self-attention mechanism and nonparametric quantile regression, our model generates both point and interval forecasts of future yields. The architecture is designed to avoid quantile crossing issues affecting multiple quantile regression models. Numerical experiments conducted on two different datasets confirm the effectiveness of our approach. Finally, we explore potential extensions and enhancements by incorporating deep ensemble methods and transfer learning mechanisms.

Details

Database :
arXiv
Journal :
ASTIN Bull. 54 (2024) 463-494
Publication Type :
Report
Accession number :
edsarx.2401.16985
Document Type :
Working Paper
Full Text :
https://doi.org/10.1017/asb.2024.26