2017
DOI: 10.3390/math5040072
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Wavelet Neural Network Model for Yield Spread Forecasting

Abstract: Abstract:In this study, a hybrid method based on coupling discrete wavelet transforms (DWTs) and artificial neural network (ANN) for yield spread forecasting is proposed. The discrete wavelet transform (DWT) using five different wavelet families is applied to decompose the five different yield spreads constructed at shorter end, longer end, and policy relevant area of the yield curve to eliminate noise from them. The wavelet coefficients are then used as inputs into Levenberg-Marquardt (LM) ANN models to forec… Show more

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Cited by 7 publications
(5 citation statements)
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“…The primary aim of an ANN is to find an optimal solution in an infinite space. Thus, we believe that the output of this study widened the ability of the conventional neural network in various mathematical perspectives, such as complex analysis [65], stability analysis [66] and forecasting analysis [67][68][69][70]. In this article, the core solution diversification principle of the EDA was found to be beneficial for ANN optimization tasks.…”
Section: Discussionmentioning
confidence: 86%
“…The primary aim of an ANN is to find an optimal solution in an infinite space. Thus, we believe that the output of this study widened the ability of the conventional neural network in various mathematical perspectives, such as complex analysis [65], stability analysis [66] and forecasting analysis [67][68][69][70]. In this article, the core solution diversification principle of the EDA was found to be beneficial for ANN optimization tasks.…”
Section: Discussionmentioning
confidence: 86%
“…Meanwhile, an RBF algorithm and SPSS Clementine technique were also combined to support the wavelet transform sequences for the prediction process. Shah et al 54 forecast output growth using wavelet transforms and Levenberg–Marquardt (LM) ANN models.…”
Section: Related Workmentioning
confidence: 99%
“…In this section, the authors present the Te-transform and its properties. Equation ( 11) and Equation (12) show the short-time Fourier transform (STFT) and the dyadic Wavelet transform (DWT), respectively, for an 𝑓 (𝑡) ∈ 𝐿² (ℝ) [1][2][3]18,[22][23][24].…”
Section: Dyadic Te-transformmentioning
confidence: 99%