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Reseaux de neurones, lissage de la fonction d'actualisation et prevision des OAT demembrees: une etude empirique

Author

Listed:
  • Bolgot, S.
  • Meyfredi, J.-C.

Abstract

La courbe de structure des taux d'interet est une des composantes fondamentales de la theorie economique et financiere. Celle-ci, en etablissant une relation entre les taux d'interet et les maturites, permet d'evaluer de nombreux actifs financiers. Or, les methodes de revelation sont nombreuses mais n'offrent pas toutes des resultats satisfaisants et souffrent, parfois, de certaines limitations. Dans cet article, nous proposons de tester certaines de ces methodes sur des obligations d'etat demembrees (strip).

Suggested Citation

  • Bolgot, S. & Meyfredi, J.-C., 1998. "Reseaux de neurones, lissage de la fonction d'actualisation et prevision des OAT demembrees: une etude empirique," G.R.E.Q.A.M. 98b04, Universite Aix-Marseille III.
    • Handle: RePEc:fth:aixmeq:98b04
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    More about this item

    Keywords

    TAUX D'INTERET ; PREVISIONS;

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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