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Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs.
Michele Leonardo Bianchi
Published in:
Commun. Stat. Simul. Comput. (2022)
Keyphrases
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probabilistic model
random fields
image processing
generative model
neural network
hierarchical structure
mixture distributions
accurate models
gaussian model
causal models
parametric models
autoregressive
graph structure
machine learning algorithms
maximum likelihood
support vector
information retrieval