Forecasting CDS Term Structure Based on Nelson–Siegel Model and Machine Learning
In this study, we analyze the term structure of credit default swaps (CDSs) and predict future term structures using the Nelson–Siegel model, recurrent neural network (RNN), support vector regression (SVR), long short-term memory (LSTM), and group method of data handling (GMDH) using CDS term struct...
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| Hlavní autoři: | , , |
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| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
Wiley
2020-01-01
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| Edice: | Complexity |
| On-line přístup: | http://dx.doi.org/10.1155/2020/2518283 |
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