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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2003.9
- 수록면
- 641 - 651 (11page)
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This study suggests the hybrid models for interest rate forecasting using structural changes (or change points). The basic concept of this proposed model is to obtain significant intervals caused by change points, to identify them as the change-point group.s, and to reflect them in interest rate forecasting. The model is composed of three phases. The first phase is to detect successive structural changes in the U.S. Treasury bill rate dataset. The second phase is to forecast the change-point groups with data mining classifiers. The final phase is to forecast interest rates with backpropagation neural networks (BPN). Based on this structure, we propose three hybrid models in terms of data mining classifier: (1) multivariate discriminant analysis (MDA)-supported model, (2) case-based reasoning (CBR)-supported model, and (3) BPN-supported model. Subsequently, we compare these models with a neural network model alone and, in addition, determine which of three classifiers (MDA, CBR and BPN) can perform better. For interest rate forecasting, this study then examines the prediction ability of hybrid models to reflect the structural change.
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UCI(KEPA) : I410-ECN-0101-2018-041-001391366