Gary Anderson

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

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Scholarly Papers (1)

1.

A Coherent Framework for Predicting Emerging Market Credit Spreads with Support Vector Regression

FEDS Working Paper No. 2019-074
Number of pages: 30 Posted: 23 Oct 2019 Last Revised: 24 Oct 2019
Gary Anderson and Alena Audzeyeva
Board of Governors of the Federal Reserve System and Keele University - Keele Management School
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Abstract:

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Support vector machine regressions, Out-of-sample predictability, Soverign cedit spreads, Machine learning, Emerging markets, Model confidence set