A Coherent Framework for Predicting Emerging Market Credit Spreads with Support Vector Regression
(2019)
Journal Article
Anderson, G., & Audzeyeva, A. (2019). A Coherent Framework for Predicting Emerging Market Credit Spreads with Support Vector Regression. https://doi.org/10.17016/FEDS.2019.074
We propose a coherent framework using support vector regression (SRV) for generating and ranking a set of high quality models for predicting emerging market sovereign credit spreads. Our framework adapts a global optimization algorithm employing an h... Read More about A Coherent Framework for Predicting Emerging Market Credit Spreads with Support Vector Regression.