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This paper establishes an original methodology to forecast macro-economy based on the term structure of credit spreads. It combines the traditional Svensson model with genetic algorithms to obtain the interest rate term structures of government bonds and corporate bonds, and calculates credit spreads as their differences. The principal component analysis is used to derive three factors of the term...
To improve the efficiency of the arc length (AL) algorithm, the paper presents a quantitative method to choose the parameters of AL. The paper analyzes the condition to guarantee the correctness of AL, and gives the approaches to set the parameters. Moreover, the latency of AL under the new method is discussed in detail. The analysis and simulation shows that the latency of AL with the parameters...
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