An innovative feature selection method for support vector machines and its test on the estimation of the credit risk of default
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DOI: 10.1002/rfe.1049
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- Sariev, Eduard & Germano, Guido, 2018. "An innovative feature selection method for support vector machines and its test on the estimation of the credit risk of default," LSE Research Online Documents on Economics 100211, London School of Economics and Political Science, LSE Library.
References listed on IDEAS
- Shiyi Chen & W. K. Hardle & R. A. Moro, 2011. "Modeling default risk with support vector machines," Quantitative Finance, Taylor & Francis Journals, vol. 11(1), pages 135-154.
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- Tian, Shaonan & Yu, Yan & Guo, Hui, 2015. "Variable selection and corporate bankruptcy forecasts," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 89-100.
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Cited by:
- Eduard Sariev & Guido Germano, 2020.
"Bayesian regularized artificial neural networks for the estimation of the probability of default,"
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- Sariev, Eduard & Germano, Guido, 2020. "Bayesian regularized artificial neural networks for the estimation of the probability of default," LSE Research Online Documents on Economics 101029, London School of Economics and Political Science, LSE Library.
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JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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