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Multiple Yield Curve Modeling and Forecasting using Deep Learning
- 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.
- Subjects :
- Statistics - Machine Learning
Computer Science - Machine Learning
Subjects
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