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most citedMortality rate forecasting: can recurrent neural networks beat the Lee-Carter model?

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math.ST2014★ 2 cited

Joint ML estimation of all parameters in a discrete time random field HJM type interest rate model

József Gáll, Gyula Pap, Martien van Zuijlen

We consider discrete time Heath-Jarrow-Morton type interest rate models, where the interest rate curves are driven by a geometric spatial autoregression field. Strong consistency a…