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A portfolio-based evaluation of affine term structure models.

Andrea BeltrattiPaolo Colla
Published in: Ann. Oper. Res. (2007)
Keyphrases
  • model selection
  • parameter estimation
  • statistical models
  • evaluation metrics
  • neural network
  • computer vision
  • probabilistic model
  • structural information
  • affine transformation
  • classification models
  • affine invariant