Examinando por Autor "Gallo Restrepo, Juan Carlos"

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    Modelo de retorno de equilibrio en la deuda americana
    (Universidad EAFIT, 2024) Montañez Díaz, Adrián Felipe; Angulo Forero, Santiago Felipe; Velásquez Durán, Isabella; Gallo Restrepo, Juan Carlos; Durango Gutiérrez, María Patricia; Díaz, Walter
    Nowadays, many institutional investors use classic models, such as the Nelson-Siegel-Svensson model, which, through certain parameters, allow the estimation of the yield curve to make informed investment decisions. Despite the general approval of these models, the economic dynamics are changing, which is why, in this work, the nodes of the US yield curve were modeled through linear regression models, machine learning and deep learning, given a defined future scenario. With the result of the projection, the curve was generated by 4 methods, of which the cubic spline resulted to be the best fit.