Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises

Nikolas Stege, Christoph Wegener, Tobias Basse, Frederik Kunze. Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises. Annals OR, 297(1):309-321, 2021. [doi]

Authors

Nikolas Stege

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Christoph Wegener

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Tobias Basse

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Frederik Kunze

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