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大数据下的利率期限结构分析：直接使用债券价格的一步估计AI 解读

Nearly all studies that analyze the term structure of interest rates take a two-step approach. First, actual bond prices are summarized by interpolated synthetic zero-coupon yields, and second, some of these yields are used as the source data for further empirical examination. In contrast, we consider the advantages of a one-step approach that directly analyzes the universe of bond prices. To illustrate the feasibility and desirability of the one-step approach, we compare…

SR 方法：非线性非高斯动态期限结构模型的新估计程序AI 解读

This paper suggests a new approach for estimating linear and non-linear dynamic term structure models with latent factors. We impose no distributional assumptions on the factors which therefore may be non-Gaussian. The novelty of our approach is to use many observables (yields or bond prices) in the cross-section dimension. This implies that the latent factors can be determined quite accurately by a sequence of cross-section regressions. We also show how output from these…