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26-007/III - Self-driving neural networks for term structure modeling

  • Authors
    Sicco Kooiker, Vrije Universiteit Amsterdam; Janneke van Brummelen, Vrije Universiteit Amsterdam; Julia Schaumburg, Vrije Universiteit Amsterdam; Marcin Zamojski, Vrije Universiteit Amsterdam
  • Publication date
    February 26, 2026
  • Keywords
    time-varying neural networks, observation-driven dynamics, yield curve
  • JEL
    C38, C45, E43
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