Götze, Tobias; Gürtler, Marc; Witowski, Eileen - In: Journal of Asset Management 21 (2020) 5, pp. 428-446
generalizing the possible model specifications compared to conventional linear regression methods. Even if enhanced methods of … background, we compare the forecasting performance of linear regression models and enhanced machine learning methods in the … market for catastrophe (CAT) bonds. We use linear regression with variable selection, penalization methods, random forests …