CDS risk premia forecasting with multi-featured deep RNNs : an application on BR[I]CS countries
Year of publication: |
2023
|
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Authors: | Kutuk, Yasin |
Published in: |
Borsa Istanbul Review. - Amsterdam [u.a.] : Elsevier, ISSN 2214-8450, ZDB-ID 2745445-9. - Vol. 23.2023, 6, p. 1380-1398
|
Subject: | Credit default swap premium | Prediction | Time series | Recurrent neural networks | Deep learning | Kreditderivat | Credit derivative | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | Neuronale Netze | Neural networks | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Kreditrisiko | Credit risk |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1016/j.bir.2023.10.013 [DOI] |
Classification: | E37 - Forecasting and Simulation ; E66 - General Outlook and Conditions ; C53 - Forecasting and Other Model Applications ; C45 - Neural Networks and Related Topics ; C52 - Model Evaluation and Testing |
Source: | ECONIS - Online Catalogue of the ZBW |
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