Predicting financial market stress with machine learning
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More about this item
Keywords
machine learning; financial stress; quantile regressions; forecasting; Shapley value;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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