AINeutralarXiv – CS AI · May 126/10
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Yield Curve Forecasting using Machine Learning and Econometrics: A Comparative Analysis
A comprehensive study comparing machine learning, deep learning, and traditional econometric methods for forecasting U.S. Treasury yield curves reveals that classical ARIMA models and naive benchmarks generally outperform advanced algorithms, though TimeGPT and RNNs show promise among machine learning approaches. The research challenges assumptions about deep learning's universal superiority in financial forecasting.
