Sovereign Risk, Machine Learning, forecasting, euro area, Google Trends, Text Mining, XGBOOST, Support Vector Machines, Neural Networks, Random Forests.
CDS, spillover, sovereign debt, systemic risk, SVAR, identification by heteroskedasticity
Out-of-Sample Return Predictability; Efficient Market Hypothesis; Conditional Beta Pricing Model; Alpha Predictability
Factor Model; Equity Markets; Macroeconomic Forecasting
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