biblio.bib

@article{Pearson:2017,
  	url = {http://adsabs.harvard.edu/abs/2017arXiv170304627P},
  	Archiveprefix = {arXiv},
  	Author = {{Pearson}, S. and {Price-Whelan}, A.~M. and {Johnston}, K.~V.},
  	Eprint = {1703.04627},
  	Journal = {ArXiv e-prints},
  	Keywords = {Astrophysics - Astrophysics of Galaxies},
  	Month = mar,
  	Title = {{Gaps in Globular Cluster Streams: Pal 5 and the Galactic Bar}},
  	Year = 2017
}

@book{Binney:2008,
  	url = {http://adsabs.harvard.edu/abs/2008gady.book.....B},
  	Author = {{Binney}, J. and {Tremaine}, S.},
  	Booktitle = {Galactic Dynamics: Second Edition, by James Binney and Scott Tremaine.~ISBN 978-0-691-13026-2 (HB).~Published by Princeton University Press, Princeton, NJ USA, 2008.},
  	Publisher = {Princeton University Press},
  	Title = {{Galactic Dynamics: Second Edition}},
  	Year = 2008
}

@article{gaia,
    author = {{Gaia Collaboration}},
    title = "{The Gaia mission}",
    journal = {Astronomy and Astrophysics},
    archivePrefix = "arXiv",
    eprint = {1609.04153},
    primaryClass = "astro-ph.IM",
    keywords = {space vehicles: instruments, Galaxy: structure, astrometry, parallaxes, proper motions, telescopes},
    year = 2016,
    month = nov,
    volume = 595,
    doi = {10.1051/0004-6361/201629272},
    url = {http://adsabs.harvard.edu/abs/2016A%26A...595A...1G},
}

@article{astropy,
    author = {{Astropy Collaboration}},
    title = "{Astropy: A community Python package for astronomy}",
    journal = {Astronomy and Astrophysics},
    archivePrefix = "arXiv",
    eprint = {1307.6212},
    primaryClass = "astro-ph.IM",
    keywords = {methods: data analysis, methods: miscellaneous, virtual observatory tools},
    year = 2013,
    month = oct,
    volume = 558,
    doi = {10.1051/0004-6361/201322068},
    url = {http://adsabs.harvard.edu/abs/2013A%26A...558A..33A}
}

@misc{fidgit,
  author = {A. M. Smith and K. Thaney and M. Hahnel},
  title = {Fidgit: An ungodly union of GitHub and Figshare},
  year = {2020},
  publisher = {GitHub},
  journal = {GitHub repository},
  url = {https://github.com/arfon/fidgit}
}

@article{brechmann2013modeling,
  title={Modeling dependence with C-and D-vine copulas: the R package CDVine},
  author={Brechmann, Eike Christian and Schepsmeier, Ulf},
  journal={Journal of statistical software},
  volume={52},
  pages={1--27},
  year={2013}
}

@book{goodfellow2016deep,
  title={Deep learning},
  author={Goodfellow, Ian and Bengio, Yoshua and Courville, Aaron},
  year={2016},
  publisher={MIT press}
}

@article{bergmeir2018note,
  title={A note on the validity of cross-validation for evaluating autoregressive time series prediction},
  author={Bergmeir, Christoph and Hyndman, Rob J and Koo, Bonsoo},
  journal={Computational Statistics \& Data Analysis},
  volume={120},
  pages={70--83},
  year={2018},
  publisher={Elsevier}
}

@book{silverman2018density,
  title={Density estimation for statistics and data analysis},
  author={Silverman, Bernard W},
  year={2018},
  publisher={Routledge}
}

@Manual{nagler2023vine,
    title = {VineCopula: Statistical Inference of Vine Copulas},
    author = {Thomas Nagler and Ulf Schepsmeier and Jakob Stoeber and Eike Christian Brechmann and Benedikt Graeler and Tobias Erhardt},
    year = {2023},
    note = {R package version 2.5.0},
    url = {https://CRAN.R-project.org/package=VineCopula},
  }

@book{vovk2005algorithmic,
  title={Algorithmic learning in a random world},
  author={Vovk, Vladimir and Gammerman, Alexander and Shafer, Glenn},
  volume={29},
  year={2005},
  publisher={Springer}
}

%chapter2

@article{ametrano2013everything,
title={Everything you always wanted to know about multiple interest rate curve bootstrapping but were afraid to ask},
author={Ametrano, Ferdinando M and Bianchetti, Marco},
journal={Available at SSRN 2219548},
year={2013}
}

@article{andersen2007discount,
title={Discount curve construction with tension splines},
author={Andersen, Leif},
journal={Review of Derivatives Research},
volume={10},
number={3},
pages={227--267},
year={2007},
publisher={Springer}
}

@book{andersen2010interest,
title={Interest rate modeling},
author={Andersen, Leif BG and Piterbarg, Vladimir V},
year={2010},
publisher={Atlantic Financial Press}
}

@phdthesis{Benko2007Functional,
Author = {Benko, Michal},
Doi = {http://dx.doi.org/10.18452/15585},
School = {Humboldt-Universit{\"a}t zu Berlin, Wirtschaftswissenschaftliche Fakult{\"a}t},
Title = {Functional data analysis with applications in finance},
Year = {2007},
Bdsk-Url-1 = {http://dx.doi.org/10.18452/15585}}

@article{Bielecki2014,
Author = {Bielecki, T.R. and Cousin, A. and Crepey, S. and Herbertsson, A.},
Date-Added = {2017-08-15 18:22:11 +0000},
Date-Modified = {2017-08-15 18:22:41 +0000},
Journal = {Communications in Statistics -- Theory and Methods},
Number = {7},
Owner = {Tus Lecki},
Pages = {1362-1389},
Timestamp = {2014.09.29},
Title = {A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries},
Volume = {43},
Year = {2014}}

@article{bjork1999interest,
title={Interest rate dynamics and consistent forward rate curves},
author={Bj{\"o}rk, Tomas and Christensen, Bent Jesper},
journal={Mathematical Finance},
volume={9},
pages={323--348},
year={1999}
}

@article{bliss1997,
title={Testing Term Structure Estimation Methods},
author={Bliss, Robert R},
journal={Advances in Futures and Options Research},
volume={9},
pages={197--231},
year={1997}
}

@book{brigo2007interest,
title={Interest rate models-theory and practice: with smile, inflation and credit},
author={Brigo, Damiano and Mercurio, Fabio},
year={2007},
publisher={Springer Science \& Business Media}
}

@unpublished{Cariboni2004,
Author = {Cariboni, J. and Schoutens, W.},
Date-Added = {2017-08-15 18:19:41 +0000},
Date-Modified = {2017-08-15 18:19:41 +0000},
Note = {Technical Report 07, University Centre for Statistics, K.U.Leuven},
Title = {{Pricing credit default swaps under L{\'e}vy models}},
Year = {2004}}

@article{CFOForum2010,
title={QIS 5 Technical Specification Risk-free interest rates},
author={CFOForum and CROForum},
year={2010}
}

@article{christensen2011affine,
title={The affine arbitrage-free class of Nelson--Siegel term structure models},
author={Christensen, Jens HE and Diebold, Francis X and Rudebusch, Glenn D},
journal={Journal of Econometrics},
volume={164},
number={1},
pages={4--20},
year={2011},
publisher={Elsevier}
}

@book{Cont2003,
Author = {Cont, R. and Tankov, P.},
Date-Added = {2017-08-15 18:19:19 +0000},
Date-Modified = {2017-08-15 18:19:19 +0000},
Publisher = {Chapman \& Hall/ CRC Press},
Title = {Financial modelling with jump processes},
Year = {2003}}

@article{cousin2014,
Author = {Cousin, Areski and Niang, Ibrahima},
Title = {On the range of Admissible Term-Structures},
Year = {2014}}

@article{cox1985theory,
Author = {Cox, John C and Ingersoll Jr, Jonathan E and Ross, Stephen A},
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Title = {A theory of the term structure of interest rates},
Year = {1985}}

@article{Crepey2012,
Author = {Cr\'epey, S. and Grbac, Z. and Nguyen, H. N.},
Date-Added = {2017-08-15 18:20:05 +0000},
Date-Modified = {2017-08-15 18:20:05 +0000},
Journal = {Mathematics and Financial Economics},
Number = {6},
Pages = {155-190},
Title = {{A multiple-curve HJM model of interbank risk}},
Volume = {6},
Year = {2012}}

@article{diebold2006forecasting,
title={Forecasting the term structure of government bond yields},
author={Diebold, Francis X and Li, Canlin},
journal={Journal of econometrics},
volume={130},
number={2},
pages={337--364},
year={2006},
publisher={Elsevier}
}


@book{diebold2013yield,
title={Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach},
author={Diebold, Francis X and Rudebusch, Glenn D},
year={2013},
publisher={Princeton University Press}
}

@article{duffie1996yield,
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@article{Eberlein1999,
Author = {Eberlein, E. and Raible, S},
Date-Added = {2017-08-15 18:19:29 +0000},
Date-Modified = {2017-08-15 18:19:29 +0000},
Journal = {Mathematical Finance},
Number = {1},
Pages = {31-53},
Title = {{Term structure models driven by general L{\'e}vy processes}},
Volume = {9},
Year = {1999}}

@article{EIOPA2015,
title={Technical documentation of the methodology to derive EIOPA’s risk-
free interest rate term structures},
author={EIOPA},
journal={https://eiopa.europa.eu/Publications},
year={2015}
}

@article{hagan2006interpolation,
title={Interpolation methods for curve construction},
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year={2006},
publisher={Taylor \& Francis}
}


@article{harrison1981martingales,
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@article{Hull1990,
Author = {Hull, J. and White, A.},
Date-Added = {2014-03-04 15:34:10 +0100},
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Volume = {3},
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@article{hull2012fva,
title={The FVA debate},
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volume={25},
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}

@article{hyndman2007robust,
title={Robust forecasting of mortality and fertility rates: a functional data approach},
author={Hyndman, Rob J and Ullah, Md Shahid},
journal={Computational Statistics \& Data Analysis},
volume={51},
number={10},
pages={4942--4956},
year={2007},
publisher={Elsevier}
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@article{hyndman2013forecasting,
  title={Forecasting: principles and practice, OTexts. org},
  author={Hyndman, RJ and Athanasopoulos, G},
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  year={2013}
}

@Manual{forecast2015,
title = {{forecast}: Forecasting functions for time series and
linear models},
author = {Rob J Hyndman},
year = {2015},
note = {R package version 6.2},
url = {http://github.com/robjhyndman/forecast},
}

@article{Hainaut2007,
Author = {Hainaut, D. and Devolder, P.},
Date-Added = {2017-08-15 18:20:14 +0000},
Date-Modified = {2017-08-15 18:20:14 +0000},
Journal = {Insurance: Mathematics and Economics},
Number = {1},
Pages = {409-418},
Title = {{Mortality modelling with L{\'e}vy processes}},
Volume = {42},
Year = {2008}}

@article{hyndman2008automatic,
title={Automatic time series forecasting: The forecast Package for R},
author={Hyndman, Rob J and Khandakar, Yeasmin},
journal={Journal of Statistical Software},
volume={27},
number={3},
pages={1--22},
year={2008},
publisher={University of California, Los Angeles, Department of Statistics}
}

@article{jarrow2014forward,
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year={2014},
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@article{jolliffe2002principal,
title={Principal component analysis and factor analysis},
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journal={Principal component analysis},
pages={150--166},
year={2002},
publisher={Springer}
}

@phdthesis{Kluge2005,
Author = {Kluge, W.},
Date-Added = {2017-08-15 18:19:49 +0000},
Date-Modified = {2017-08-15 18:19:49 +0000},
School = {University of Freiburg, Baden-Wurttemberg},
Title = {{Time-Inhomogeneous L\'evy Processes in Interest Rate and Credit Risk Models}},
Year = {2005}}

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@article{martellini2003fixed,
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@article{pfaff2008,
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@article{ramsay1991some,
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@incollection{ramsay2005springer,
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@article{Schlogl2000,
Author = {Schl{\"o}gl, E. and Schl{\"o}gl, L.},
Date-Added = {2017-08-15 18:20:49 +0000},
Date-Modified = {2017-08-15 18:20:49 +0000},
Journal = {Applied Mathematical Finance},
Number = {3},
Pages = {183-209},
Title = {A square root interest rate model fitting discrete initial term structure data},
Volume = {7},
Year = {2000}}

@article{schlogl2000square,
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Year = {2000}}

@article{shang2014survey,
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number={2},
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publisher={Springer}
}

@techreport{svensson1994estimating,
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@book{tankov2003financial,
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volume={2},
year={2003},
publisher={CRC press}
}

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@article{white2012multiple,
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@book{wuethrich2010market,
title={Market-consistent actuarial valuation},
author={W{\"u}thrich, Mario and B{\"u}hlmann, Hans and Furrer, Hansj{\"o}rg},
year={2010},
publisher={Springer Science \& Business Media}
}

% chapter 3

@article{bergmeir2015note,
title={A Note on the Validity of Cross-Validation for Evaluating Time Series Prediction},
author={Bergmeir, Christoph and Hyndman, Rob J and Koo, Bonsoo and others},
journal={Monash University, Department of Econometrics and Business Statistics, Tech. Rep.},
year={2015},
}

@article{bonnin2015retraite,
title={Un mod\`ele de projection pour des contrats de retraite dans le cadre de l'ORSA},
author={Bonnin, F and Combes, F and Planchet, F and Tammar, M},
journal={Bulletin Français d’Actuariat},
volume={14},
pages={107--129},
year={2015},
}

@inproceedings{boyle1997quasi,
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title={Multitask learning},
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@article{chakraborty1992forecasting,
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@book{cormen2009introduction,
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year={2009},
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@article{dehuri2010comprehensive,
title={A comprehensive survey on functional link neural networks and an adaptive PSO--BP learning for CFLNN},
author={Dehuri, Satchidananda and Cho, Sung-Bae},
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volume={19},
number={2},
pages={187--205},
year={2010},
publisher={Springer}
}

@manual{dutang2015,
title = {randtoolbox: Generating and Testing Random Numbers},
author = {Dutang, Christophe and Savicky, Petr},
year = {2015},
note = {R package version 1.17},
}

@article{exterkate2016nonlinear,
title={Nonlinear forecasting with many predictors using kernel ridge regression},
author={Exterkate, Peter and Groenen, Patrick JF and Heij, Christiaan and van Dijk, Dick},
journal={International Journal of Forecasting},
volume={32},
number={3},
pages={736--753},
year={2016},
publisher={Elsevier}
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@article{greene2000econometric,
title={Econometric analysis 4th edition},
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journal={International edition, New Jersey: Prentice Hall},
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@book{harville2008matrix,
title={Matrix Algebra From a Statistician’s Perspective},
author={Harville, David A},
year={2008},
publisher={Springer}
}

@article{hochreiter1997long,
title={Long short-term memory},
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@technicalreport{joe2008sobol,
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year={2008},
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howpublished = {\url{http://web.maths.unsw.edu.au/~fkuo/sobol/joe-kuo-notes.pdf}}
}


@book{lutkepohl2005new,
title={New introduction to multiple time series analysis},
author={L{\"u}tkepohl, Helmut},
year={2005},
publisher={Springer Science \& Business Media}
}

@book{niederreiter1992random,
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@book{pankratz2012forecasting,
title={Forecasting with dynamic regression models},
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year={2012},
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}

@article{pao1994learning,
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@inproceedings{penrose1955generalized,
title={A generalized inverse for matrices},
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@article{pfaff2008var,
title={VAR, SVAR and SVEC models: Implementation within R package vars},
author={Pfaff, Bernhard and others},
journal={Journal of Statistical Software},
volume={27},
number={4},
pages={1--32},
year={2008}
}


@article{ren2016random,
title={Random vector functional link network for short-term electricity load demand forecasting},
author={Ren, Ye and Suganthan, PN and Srikanth, N and Amaratunga, Gehan},
journal={Information Sciences},
volume={367},
pages={1078--1093},
year={2016},
publisher={Elsevier}
}

@inproceedings{rumelhart1988learning,
title={Learning internal representations by error propagation},
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@inproceedings{schmidt1992feedforward,
title={Feedforward neural networks with random weights},
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@book{wickham2016ggplot2,
title={ggplot2: elegant graphics for data analysis},
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year={2016},
publisher={Springer}
}

@article{zhang2016comprehensive,
title={A comprehensive evaluation of random vector functional link networks},
author={Zhang, Le and Suganthan, PN},
journal={Information Sciences},
volume={367},
pages={1094--1105},
year={2016},
publisher={Elsevier}
}

%chapter 4

@article{alhamdoosh2014fast,
title={Fast decorrelated neural network ensembles with random weights},
author={Alhamdoosh, Monther and Wang, Dianhui},
journal={Information Sciences},
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pages={104--117},
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publisher={Elsevier}
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@article{box1970distribution,
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@article{breiman1996stacked,
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@article{buhlmann2003boosting,
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@article{efron1986bootstrap,
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}

@incollection{efron1992bootstrap,
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% chapter 5

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year={2008},
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@book{rasmussen2006gaussian,
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@article{welling2010kalman,
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% chapter 6
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@article{golub1979generalized,
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@article{jones2001taxonomy,
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@article{mockus1978toward,
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@article{sapp2014subsemble,
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@inproceedings{snoek2012practical,
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@article{wager2014confidence,
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