2 papers
econ.EM2025
Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching
Siyu Bie, Francis X. Diebold, Jingyu He +1
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…
cs.LG2025
Growing the Efficient Frontier on Panel Trees
Lin William Cong, Guanhao Feng, Jingyu He +1
We introduce a new class of tree-based models, P-Trees, for analyzing (unbalanced) panel of individual asset returns, generalizing high-dimensional sorting with economic guidance a…