benedoug/DYCPrediction

DYCPrediction

The Data Set

The Sample data sources are given below:

1. US Fed treasury curves - https://www.federalreserve.gov/datadownload/Choose.aspx?rel=H15
2. Russia Yield Curve - https://www.moex.com/en/marketdata/indices/state/yieldcurve/
3. UK Treasury yield curve - http://www.bankofengland.co.uk/statistics/Pages/yieldcurve/archive.aspx

Quick Links

What is a Yield Curve:

http://www.investopedia.com/terms/y/yieldcurve.asp?lgl=dpmf-myfinance

https://derivativelogic.com/dl-report/understanding-the-yield-curve-what-youve-always-wanted-to-know-but-were-afraid-to-ask

What are Derivatives :

http://www.yieldcurve.com/Mktresearch/LearningCurve/Derivatives_Intro.pdf

Interest rate forecasting

http://www.econ2.jhu.edu/people/Duffee/handbookForecast.pdf

Modelling Yield Curves:

http://www-stat.wharton.upenn.edu/~stine/research/penn_fin_club.pdf

Time Series Completion

http://congres.afse.fr/docs/735621bmpm_scenarii_completion_afse_april09.pdf

https://link.springer.com/content/pdf/10.1186%2Fs13634-016-0360-0.pdf

http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.109.3985&rep=rep1&type=pdf

http://ro.ecu.edu.au/cgi/viewcontent.cgi?article=1063&context=theses

A Statistical Machine Learning Approach to Yield Curve Forecasting :

https://arxiv.org/pdf/1703.01536.pdf

Bond Yield Curve Holds Predictive Powers :

http://www.investopedia.com/articles/economics/08/yield-curve.asp?lgl=dpmf-myfinance