arXiv stat.ML
· Papers
Data-Driven Duration Management — Term Structure Forecasting Using Machine Learning
arXiv:2606.26815v1 Announce Type: cross Abstract: This paper compares different methods for forecasting the term structure of U.S. and European zero-coupon government bonds using both traditional econometric and Machine Learning (ML) approaches. We compare classical models (e.g., Dynamic Nelson-Siegel (DNS) and Princip