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 circumve...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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AOSIS
2000-12-01
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| Series: | South African Journal of Business Management |
| Online Access: | https://sajbm.org/index.php/sajbm/article/view/744 |
| _version_ | 1817983418625949696 |
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| author | Amine Bensaid Bouchra Bouqata Ralph Palliam |
| author_facet | Amine Bensaid Bouchra Bouqata Ralph Palliam |
| author_sort | Amine Bensaid |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-13T23:32:54Z |
| format | Article |
| id | doaj.art-e73f2a5cd88a4aea8443838982e4b45d |
| institution | Directory Open Access Journal |
| issn | 2078-5585 2078-5976 |
| language | English |
| last_indexed | 2024-04-13T23:32:54Z |
| publishDate | 2000-12-01 |
| publisher | AOSIS |
| record_format | Article |
| series | South African Journal of Business Management |
| spelling | doaj.art-e73f2a5cd88a4aea8443838982e4b45d2022-12-22T02:24:50ZengAOSISSouth African Journal of Business Management2078-55852078-59762000-12-0131413714010.4102/sajbm.v31i4.744464Recurrent Artificial Neural Networks (RANN) for forecasting of forward interest ratesAmine Bensaid0Bouchra Bouqata1Ralph Palliam2School of Science and Engineering, Al-Akahawayn UniversitySchool of Science and Engineering, Al-Akahawayn UniversitySchool of Business Administration, Al-Akahawayn UniversityThere 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.https://sajbm.org/index.php/sajbm/article/view/744 |
| spellingShingle | Amine Bensaid Bouchra Bouqata Ralph Palliam Recurrent Artificial Neural Networks (RANN) for forecasting of forward interest rates South African Journal of Business Management |
| title | Recurrent Artificial Neural Networks (RANN) for forecasting of forward interest rates |
| title_full | Recurrent Artificial Neural Networks (RANN) for forecasting of forward interest rates |
| title_fullStr | Recurrent Artificial Neural Networks (RANN) for forecasting of forward interest rates |
| title_full_unstemmed | Recurrent Artificial Neural Networks (RANN) for forecasting of forward interest rates |
| title_short | Recurrent Artificial Neural Networks (RANN) for forecasting of forward interest rates |
| title_sort | recurrent artificial neural networks rann for forecasting of forward interest rates |
| url | https://sajbm.org/index.php/sajbm/article/view/744 |
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