Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Forecasting interest rates through Vasicek and CIR models: a
  partitioning approach   The aim of this paper is to propose a new methodology that allows
forecasting, through Vasicek and CIR models, of future expected interest rates
(for each maturity) based on rolling windows from observed financial market
data. The novelty, apart from the use of those models not for pricing but for
forecasting the expected rates at a given maturity, consists in an appropriate
partitioning of the data sample. This allows capturing all the statistically
significant time changes in volatility of interest rates, thus giving an
account of jumps in market dynamics. The performance of the new approach is
carried out for different term structures and is tested for both models. It is
shown how the proposed methodology overcomes both the usual challenges (e.g.
simulating regime switching, volatility clustering, skewed tails, etc.) as well
as the new ones added by the current market environment characterized by low to
negative interest rates.

1
The categories of this paper are: cs
20
The categories of this paper are: acc-phys
13
The categories of this paper are: quant-ph
23
The categories of this paper are: solv-int
28
The categories of this paper are: alg-geom
26
The categories of this paper are: bayes-an
2
The categories of this paper are: math
30
The categories of this paper are: q-alg
36
The categories of this paper are: cmp-lg
24
The categories of this paper are: dg-ga
0
The categories of this paper are: hep-ph
8
The categories of this paper are: hep-ex
9
The categories of this paper are: nlin
21
The categories of this paper are: adap-org
11
The categories of this paper are: hep-lat
3
The categories of this paper are: physics