121 citations · 346 across the 21 of their papers we have counts for
30 papers
Transfer Learning Across Fixed-Income Product Classes
Nicolas Camenzind, Damir Filipovic
We propose a framework for transfer learning of discount curves across different fixed-income product classes. Motivated by challenges in estimating discount curves from sparse or…
Kernel Density Machines
Andrea Della Vecchia, Damir Filipovic, Paul Schneider
We introduce kernel density machines (KDM), an agnostic kernel-based framework for learning the Radon-Nikodym derivative (density) between probability measures under minimal assump…
Joint Estimation of Conditional Mean and Covariance for Unbalanced Panels
Damir Filipovic, Paul Schneider
We develop a nonparametric, kernel-based joint estimator for conditional mean and covariance matrices in large and unbalanced panels. The estimator is supported by rigorous consist…
Fundamental Properties of Linear Factor Models
Damir Filipovic, Paul Schneider
We characterize the loading matrices that admit a conditional linear factor representation for excess returns in which the factors are traded, residual risk is unpriced, and the lo…
Discount Models
Damir Filipovic
Discount is the difference between the face value of a bond and its present value. I propose an arbitrage-free dynamic framework for discount models, which provides an alternative…
Adaptive joint distribution learning
Damir Filipovic, Michael Multerer, Paul Schneider
We develop a new framework for estimating joint probability distributions using tensor product reproducing kernel Hilbert spaces (RKHS). Our framework accommodates a low-dimensiona…