1 citations · 1 across the 2 of their papers we have counts for
2 papers
econ.EM2024★ 1 cited
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…
stat.CO2022
Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models
Andras Fulop, Jeremy Heng, Junye Li
Most solved dynamic structural macrofinance models are non-linear and/or non-Gaussian state-space models with high-dimensional and complex structures. We propose an annealed contro…