Yield Curve Forecasting using Machine Learning and Econometrics: A Comparative Analysis

ArXi:2605.09842v1 Announce Type: new While machine learning has revolutionized many fields such as natural language processing (NLP) and computer vision, its impact on time-series forecasting is still widely disputed, especially in the finance domain. This paper compares forecasting performance on U. S. Treasury yield curve data across econometrics/time-series analysis, classical machine learning, and deep learning methods, using daily data over 47 years.