Multivariate CDS risk premium prediction with SOTA RNNs on MI[N]T countries
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
|
Subject: | Credit default swap | Forecasting | Time series | Recurrent neural networks | Deep learning | Theorie | Theory | Kreditderivat | Credit derivative | Prognoseverfahren | Forecasting model | Neuronale Netze | Neural networks | Risikoprämie | Risk premium | Zeitreihenanalyse | Time series analysis | Kreditrisiko | Credit risk |
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