Anatomy of a sovereign debt crisis : machine learning, real-time macro fundamentals, and CDS spreads
Pierluigi Balduzzi, Roberto Savona and Lucia Alessi
| Year of publication: |
2023
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|---|---|
| Authors: | Balduzzi, Pierluigi ; Savona, Roberto ; Alessi, Lucia |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 5, p. 1728-1758
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| Subject: | CDS spreads | LASSO | macroeconomic fundamentals | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Künstliche Intelligenz | Artificial intelligence | Öffentliche Schulden | Public debt | Schuldenkrise | Debt crisis | Zinsstruktur | Yield curve | Kreditversicherung | Credit insurance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbac021 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014444728