Neural networks outperform traditional econometric models in yield curve forecasting accuracy and simulated bond trading performance for US and European markets.
Evangelos Salachas, Georgios P Kouretas, and Nikiforos T Laopodis
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Data-Driven Duration Management -- Term Structure Forecasting Using Machine Learning
Neural networks outperform traditional econometric models in yield curve forecasting accuracy and simulated bond trading performance for US and European markets.