Multiple Yield Curve Modeling and Forecasting using Deep Learning. (arXiv:2401.16985v1 [stat.ML])

This manuscript introduces deep learning models that simultaneously describe
the dynamics of several yield curves. We aim to learn the dependence structure
among the different yield curves induced by the globalization of financial
markets and exploit it to produce more accurate forecasts. By combining the
self-attention mechanism and nonparametric quantile regression, our model
generates both point and interval forecasts of future yields. The architecture
is designed to avoid quantile crossing issues affecting multiple quantile
regression models. Numerical experiments conducted on …

aim arxiv attention deep learning dynamics exploit financial financial markets forecasting globalization learn markets modeling multiple self-attention stat.ml yield curve