Artikel
Recurrent Artificial Neural Networks (RANN) for forecasting of forward interest rates
There are numerous methods for estimating forward interest rates as well as many studies testing the accuracy of these methods. The approach proposed in this study is similar to the one in previous works in two respects: firstly, a Monte Carlo simulation is used instead of empirical data to circumvent empirical difficulties: and secondly, in this study, accuracy is measured by estimating the forward rates rather than by exploring bond prices. This is more consistent with user objectives. The method presented here departs from the others in that it uses a Recurrent Artificial Neural Network (RANN) as an alternative technique for forecasting forward interest rates. Its performance is compared to that of a recursive method which has produced some of the best results in previous studies for forecasting forward interest rates.
- Sprache
-
Englisch
- Erschienen in
-
Journal: South African Journal of Business Management ; ISSN: 2078-5976 ; Volume: 31 ; Year: 2000 ; Issue: 4 ; Pages: 137-140 ; Cape Town: African Online Scientific Information Systems (AOSIS)
- Klassifikation
-
Management
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bensaid, Amine
Bouqata, Bouchra
Palliam, Ralph
- Ereignis
-
Veröffentlichung
- (wer)
-
African Online Scientific Information Systems (AOSIS)
- (wo)
-
Cape Town
- (wann)
-
2000
- DOI
-
doi:10.4102/sajbm.v31i4.744
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Bensaid, Amine
- Bouqata, Bouchra
- Palliam, Ralph
- African Online Scientific Information Systems (AOSIS)
Entstanden
- 2000
Ähnliche Objekte (12)
Forecasting interest rates
Interest rate spreads and forward guidance
Forecasting Interest Rates with Shifting Endpoints
Forecasting interest rates using geostatistical techniques
Time-series forecasting through recurrent topology
Forecasting with artificial network models
Nonlinear inflation forecasting with recurrent neural networks
Nonlinear inflation forecasting with recurrent neural networks
Existenz und Handelbarkeit eines Forward Interest Rate Bias
Forecasting term structure of interest rates in Japan
Cointegrated VARMA models and forecasting US interest rates
Memory and forecasting capacities of nonlinear recurrent networks
Forecasting interest rates
Interest rate spreads and forward guidance
Forecasting Interest Rates with Shifting Endpoints
Forecasting interest rates using geostatistical techniques
Time-series forecasting through recurrent topology
Forecasting with artificial network models
Nonlinear inflation forecasting with recurrent neural networks
Nonlinear inflation forecasting with recurrent neural networks
Existenz und Handelbarkeit eines Forward Interest Rate Bias
Forecasting term structure of interest rates in Japan
Cointegrated VARMA models and forecasting US interest rates
Memory and forecasting capacities of nonlinear recurrent networks
Forecasting interest rates
Interest rate spreads and forward guidance
Forecasting Interest Rates with Shifting Endpoints
Forecasting interest rates using geostatistical techniques
Time-series forecasting through recurrent topology
Forecasting with artificial network models
Nonlinear inflation forecasting with recurrent neural networks
Nonlinear inflation forecasting with recurrent neural networks
Existenz und Handelbarkeit eines Forward Interest Rate Bias
Forecasting term structure of interest rates in Japan
Cointegrated VARMA models and forecasting US interest rates