Completing the Market : Generating Shadow CDS Spreads by Machine Learning /
We compared the predictive performance of a series of machine learning and traditional methods for monthly CDS spreads, using firms' accounting-based, market-based and macroeconomics variables for a time period of 2006 to 2016. We find that ensemble machine learning methods (Bagging, Gradient B...
| প্রধান লেখক: | |
|---|---|
| অন্যান্য লেখক: | , |
| বিন্যাস: | পত্রিকা |
| ভাষা: | English |
| প্রকাশিত: |
Washington, D.C. :
International Monetary Fund,
2019.
|
| মালা: | IMF Working Papers; Working Paper ;
No. 2019/292 |
| অনলাইন ব্যবহার করুন: | Full text available on IMF |