Modeling the Term Structure of Interest Rates with Restricted Boltzmann Machines
This thesis investigates if Gaussian restricted Boltzmann machines can be used to model the Swedish term structure of interest rates. The models are evaluated based on the ability to make one-day-ahead forecasts and the ability to generate long term scenarios. The results are compared to simple benc...
| Main Author: | |
|---|---|
| Format: | Others |
| Language: | English |
| Published: |
KTH, Matematisk statistik
2018
|
| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-229486 |