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

DOI10.1080/02664760701835243zbMath1147.62077OpenAlexW2007669611MaRDI QIDQ3532680

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

waveletsinterest ratesartificial neural networksGARCHforecast comparisonsnonlinear ARMAmixed spectra

Mathematics Subject Classification ID

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

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