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We explore tree-based macroeconomic regime-switching in the context of the dynamic Nelson-Siegel (DNS) yield-curve model. In particular, we customize the tree-growing algorithm to partition macroeconomic variables based on the DNS model's marginal li
Externí odkaz:
http://arxiv.org/abs/2408.12863
Autor:
Bi, Shengxian1 (AUTHOR), Bie, Siyu1 (AUTHOR), Hu, Xijian1 (AUTHOR) xijianhu@xju.edu.cn, Zhang, Huiguo1 (AUTHOR)
Publikováno v:
Scientific Reports. 3/14/2022, Vol. 12 Issue 1, p1-7. 7p.
Publikováno v:
Scientific Reports. 3/18/2021, Vol. 11 Issue 1, p1-8. 8p.