Multivariate CDS risk premium prediction with SOTA RNNs on MI[N]T countries
Yasin Kutuk, Lina Barokas
| Year of publication: |
2022
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|---|---|
| Authors: | Kutuk, Yasin ; Barokas, Lina |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 45.2022, p. 1-8
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| Subject: | Credit default swap | Forecasting | Time series | Recurrent neural networks | Deep learning | Kreditderivat | Credit derivative | Neuronale Netze | Neural networks | Prognoseverfahren | Forecasting model | Risikoprämie | Risk premium | Zeitreihenanalyse | Time series analysis | Kreditrisiko | Credit risk | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2021.102198 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014581639