Financial Crisis Prediction: A Model Comparison
9 Pages Posted: 1 Dec 2017
Date Written: November 29, 2017
In this paper we compare different models for financial crisis prediction, focusing on methods from the field of Machine Learning (ML). These methods are particularly promising, since they were specifically designed for making predictions. In our application, we find that the performance on these methods depends on whether we look at in-sample or out-of-sample predictions. In the latter case, they do not always outperform more traditional approaches (such as Logistic regressions). Nevertheless, we find that these methods can be useful and should therefore become a standard element in the toolbox of empirical researchers.
Keywords: Financial Crisis, Prediction, Classification, Machine Learning
JEL Classification: C38, C53, G01
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