A novel state-space dynamic functional regression model is proposed for multicurve fixed income spread analysis and stress testing, integrating dynamic Nelson-Siegel with kernel PCA for tractable estimation.
Kernel PCA for feature extraction and de-noising in nonlinear regression
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State-Space Dynamic Functional Regression for Multicurve Fixed Income Spread Analysis and Stress Testing
A novel state-space dynamic functional regression model is proposed for multicurve fixed income spread analysis and stress testing, integrating dynamic Nelson-Siegel with kernel PCA for tractable estimation.