Forecasting interest rates: a comparative assessment of some second-generation nonlinear models

DOI10.1080/02664760701835243MaRDI QIDQ3532680zbMATH OpenOpenAlexFDO

Authors D. M. Nachane, Jose G. Clavel

Publication date 28 October 2008

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664760701835243

zbMATH Keywords

artificial neural networksforecast comparisonsGARCHinterest ratesmixed spectranonlinear ARMAwavelets

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Neural nets and related approaches to inference from stochastic processes (62M45) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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