Estimating a fuzzy term structure of interest rates using fuzzy regression techniques

被引：25
|
作者：
Sánchez, JDA [1 ]
Gómez, AT [1 ]
机构：
[1] Univ Rovira & Virgili, Fac Econ & Business Studies, Dept Business Adm, Reus 43204, Spain
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2004年 / 154卷 / 03期
关键词：
finance; fuzzy sets; fuzzy regression; investment analysis; temporal structure of interest rates;
D O I：
10.1016/S0377-2217(02)00854-8
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
Several papers in the financial literature propose using fuzzy numbers (FNs) to model interest rate uncertainty. However, in our opinion, the first problem to be solved is how to estimate these rates with FNs. In this paper, we attempt to provide a solution to this question with a method for adjusting the temporal structure of interest rates (TSIR) that is based on fuzzy regression techniques. This method will enable to quantify the anticipated rates in the fixed income markets for the future with FNs. In particular, we discuss how to estimate the TSIR with triangular fuzzy numbers because of their desirable properties. (C) 2003 Elsevier B.V. All rights reserved.
引用
收藏
页码：804 / 818
页数：15
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