Economics, Econometrics and Finance
4 years ago

Neural Networks Beat Traditional Models in Predicting Interest Rate Trends

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WIT transactions on information and communication technologies
Estimating term structure of interest rates: neural network vs one factor parametric models
Fathi Abid, Mouna Ben Salah

Paper Summary

The article compares different models for predicting interest rates over time. They tested two standard models and two neural network models. The neural network models performed better at forecasting interest rates. The best results came from a neural network model that considered both interest rate spreads and levels.

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