Dynamically Consistent Analysis of Realized Covariations in Term Structure Models

By Dennis Schroers

Published 2024-07-01

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1646.6

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Nonparametric Covariation Analysis. Problem types: Time Series Forecasting, Dimensionality Reduction, Anomaly Detection.

arXiv:2406.19412 · Paper rankings

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