Expert Systems with Applications: An International Journal
A hybrid wavelet analysis and support vector machines in forecasting development of manufacturing
Expert Systems with Applications: An International Journal
Forecasting volatility based on wavelet support vector machine
Expert Systems with Applications: An International Journal
Expert Systems with Applications: An International Journal
Hi-index | 12.05 |
The present paper studies the informational content of the Brazilian term structure of interest rate. We apply multiresolution decomposition to the spread and to the industrial production, and investigate if the term spread presents information that can help predict the path followed by industrial production. We also investigate if all the predictive ability of the spread is due to the monetary policy. The results suggest that the yield spread contains relevant information, and this predictive power varies across time patterns. Inasmuch, the results indicate that the predictive power of the spread is not totally explained by monetary policy.