Evolving fuzzy modelling for yield curve forecasting
by Leandro Maciel; Rosangela Ballini; Fernando Gomide
International Journal of Economics and Business Research (IJEBR), Vol. 15, No. 3, 2018

Abstract: Forecasting the term structure of interest rates plays a crucial role in portfolio management, household finance decisions, business investment planning, and policy formulation. This paper aims to address yield curve forecasting and evolving fuzzy systems modelling using data from US and Brazilian fixed income markets. Evolving fuzzy models provide a high level of system adaptation and learn the system dynamic continuously, which is essential for uncertain environments as interest rate markets. Computational experiments show that the evolving fuzzy modelling approaches describe the interest rate behaviour accurately, outperforming traditional econometric techniques in terms of error measures and statistical tests. Moreover, evolving models provide promising results for short and long-term maturities and for both fixed income markets evaluated, highlighting its potential to forecast complex nonlinear dynamics in uncertain environments.

Online publication date: Thu, 08-Mar-2018

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Economics and Business Research (IJEBR):
Login with your Inderscience username and password:

    Username:        Password:         

Forgotten your password?


Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com