Nan Hu

Goethe University Frankfurt

Gr├╝neburgplatz 1

Frankfurt am Main, 60323

Germany

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Scholarly Papers (1)

1.

Completing the Market: Generating Shadow CDS Spreads by Machine Learning

IMF Working Paper No. 19/292
Number of pages: 38 Posted: 23 Jan 2020
Goethe University Frankfurt, Zhejiang Gongshang University and International Monetary Fund (IMF)
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Abstract:

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Financial crises, Economic conditions, Financial markets, Financial systems, Credit risk, Credit default swaps, Prediction, Machine Learning methods, WP, CDS, test sample, test set, nowcasting, linear regression