Federal funds rate prediction using robust radial basis function neural networks

Chun Li Tsai, Chien Cheng Lee, Yu Chun Chiang

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Since some studies have found that monetary policy influences the financial market, the prediction of effective federal funds rate has been an important issue. In this paper, we construct the M-estimator based robust RBF (MRRBF) neural network and compare the forecasting performances with some other time-series forecasting models for daily U.S effective federal funds rate. We find that the proposed MRRBF network can produce the lowest root mean square errors due to the ability to eliminate the outlier influence.

Original languageEnglish
Title of host publicationSecond International Conference on Innovative Computing, Information and Control, ICICIC 2007
PublisherIEEE Computer Society
ISBN (Print)0769528821, 9780769528823
DOIs
Publication statusPublished - 2007 Jan 1
Event2nd International Conference on Innovative Computing, Information and Control, ICICIC 2007 - Kumamoto, Japan
Duration: 2007 Sept 52007 Sept 7

Publication series

NameSecond International Conference on Innovative Computing, Information and Control, ICICIC 2007

Other

Other2nd International Conference on Innovative Computing, Information and Control, ICICIC 2007
Country/TerritoryJapan
CityKumamoto
Period07-09-0507-09-07

All Science Journal Classification (ASJC) codes

  • General Computer Science
  • Mechanical Engineering

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