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Learning smooth graphs with sparse temporal variations to explore long-term financial trends
Antoine Parent / Cécile Bastidon / Myriam Bontonou / Pablo Jensen / Patrice Abry / Pierre Borgnat
interest rates / time seriesResource overview

Learning smooth graphs with sparse temporal variations to explore long-term financial trends

Paper2024

by Antoine Parent, Cécile Bastidon, Myriam Bontonou, Pablo Jensen, Patrice Abry, Pierre Borgnat

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interest ratestime series

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Understand this paper

Suggested foundations for rates and fixed income and financial time series. Specialist prerequisites vary by paper.

Before you read

  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

  3. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  4. Linear Regression

    Read the fitted relationship and its residuals.

Go further

  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

  3. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Fixed Income and Interest-Rate Models Explore Econometrics and Financial Time Series

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Antoine Parent, Cécile Bastidon, Myriam Bontonou, Pablo Jensen, Patrice Abry, Pierre Borgnat

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