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On unspanned latent risks in dynamic term structure models

Reference

Dubiel-Teleszynski, T., Kalogeropoulos, K., & Karouzakis, N. (2025). On unspanned latent risks in dynamic term structure models. Presented at the 19th International Joint Conference CFE-CMStatistics on Computational and Financial Econometrics (CFE) and Computational and Methodological Statistics (CMStatistics), London, UK.

Publication Type

Presentation at Scholarly Conference

Sequential learning and economic benefits from dynamic term structure models

On unspanned latent risks in dynamic term structure models

Dynamic term structure models with nonlinearities using Gaussian Processes

Complex dynamics in a Bertrand duopoly game with heterogeneous players

Reference

Dubiel-Teleszynski, T. (2009). Complex dynamics in a Bertrand duopoly game with heterogeneous players. Presented at the 1st Hurwicz Workshop, Stefan Banach International Mathematical Center, Polish Academy of Sciences, Warsaw, Poland.

Publication Type

Presentation at Scholarly Conference

Joint modelling of cointegration and mean reversion in a continuous time approach to statistical arbitrage

Reference

Dubiel-Teleszynski, T. (2012). Joint modelling of cointegration and mean reversion in a continuous time approach to statistical arbitrage. Presented at the 6th International Conference on Computational and Financial Econometrics (CFE), Oviedo, Spain.

Publication Type

Presentation at Scholarly Conference

Estimating bond risk premia via sequential learning

Reference

Dubiel-Teleszynski, T., Kalogeropoulos, K., & Karouzakis, N. (2018). Estimating bond risk premia via sequential learning. Presented at the 12th International Conference on Computational and Financial Econometrics (CFE), Pisa, Italy.

Publication Type

Presentation at Scholarly Conference

Dynamic term structure models with nonlinearities using Gaussian Processes

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