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...
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| 其他作者: | , |
| 格式: | 杂志 |
| 语言: | English |
| 出版: |
Washington, D.C. :
International Monetary Fund,
2019.
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| 丛编: | IMF Working Papers; Working Paper ;
No. 2019/292 |
| 在线阅读: | Full text available on IMF |