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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…
econ.EM2020
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates
Francis X. Diebold, Minchul Shin, Boyuan Zhang
We propose methods for constructing regularized mixtures of density forecasts. We explore a variety of objectives and regularization penalties, and we use them in a substantive exp…