Published January 3, 2022
| Version 2.0
Software
Open
Companion code for "Modeling the Yield Curve of BRICS countries: Parametric vs Machine Learning Techniques"
Description
Companion code for "Modeling the Yield Curve of BRICS countries: Parametric vs Machine Learning Techniques". Varying the datasets it is possible to replicate the yield curves of various countries using both a Time-varying version of the De Rezende Ferreira Models and a Feed Forward Neural Network.
Files
Files
(264.1 kB)
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md5:d1ac35f9533f3fccb95635c8390fc2e8
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45.1 kB | Download |
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md5:4fa52a90a1ecf2e4453473f4bffe379a
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3.5 kB | Download |
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md5:6b6dd4bf05baa04808aab22e820f2954
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50.4 kB | Download |
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md5:4a681d2bdf8a1f83a32ecdc50ce40b30
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62.3 kB | Download |
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md5:692a2b15c429e145bb12c62872b15be4
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44.9 kB | Download |
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md5:ac57d015fbe3f53084114cae013569c5
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57.9 kB | Download |