Boeckelmann Lukas

Banque de France

Paris

France

SCHOLARLY PAPERS

2

DOWNLOADS

273

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Forecasting Sovereign Risk in the Euro Area via Machine Learning

Number of pages: 46 Posted: 30 Nov 2021 Last Revised: 28 Nov 2022
Banque de France, Banque de France, Banque de France, Bank of Italy, Banque de France, Bank of Greece and Banque de France
Downloads 194 (290,875)
Citation 1

Abstract:

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Sovereign Risk, Machine Learning, forecasting, euro area, Google Trends, Text Mining, XGBOOST, Support Vector Machines, Neural Networks, Random Forests.

Structural Estimation of Time-Varying Spillovers: an Application to International Credit Risk Transmission

Banque de France Working Paper No. 798
Number of pages: 61 Posted: 21 Apr 2021
Boeckelmann Lukas and Arthur Stalla-Bourdillon
Banque de France and Banque de France
Downloads 79 (578,304)

Abstract:

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CDS, spillover, sovereign debt, systemic risk, SVAR, identification by heteroskedasticity

Structural Estimation of Time-Varying Spillovers: an Application to International Credit Risk Transmission

Banque de France Working Paper Forthcoming
Posted: 21 Apr 2021
Boeckelmann Lukas and Arthur Stalla-Bourdillon
Banque de France and Banque de France

Abstract:

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CDS, spillover, sovereign debt, systemic risk, SVAR, identification by heteroskedasticity