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Forecasting accuracy of machine learning and linear regression evidence from the secondary CAT bond market

CC bY

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Bibliographic Details
Main Authors: Tobias, Götze, Marc, Gürtler, Eileen, Witowski
Format: Book
Language:English
Published: Springer 2023
Subjects:
CAT
Forecasting accuracy
Online Access:https://link.springer.com/article/10.1007/s11573-023-01138-8
https://dlib.phenikaa-uni.edu.vn/handle/PNK/8474
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spelling oai:localhost:PNK-84742023-05-22T01:20:07Z Forecasting accuracy of machine learning and linear regression evidence from the secondary CAT bond market Tobias, Götze Marc, Gürtler Eileen, Witowski CAT Forecasting accuracy CC bY The main challenge in empirical asset pricing is forecasting the future value of assets traded in financial markets with a high level of accuracy. Because machine learning methods can model relationships between explanatory and dependent variables based on complex, non-linear, and/or non-parametric structures, it is not surprising that machine learning approaches have shown promising forecasting results and significantly outperform traditional regression methods. Corresponding results were achieved for CAT bond premia forecasts in the primary market. However, since secondary market data sets have a panel data structure, it is unclear whether the results of primary market studies can be applied to the secondary market. Against this background, this study aims to build the first out-of-sample forecasting model for CAT bond premia in the secondary market, comparing different modeling approaches 2023-05-22T01:20:07Z 2023-05-22T01:20:07Z 2023 Book https://link.springer.com/article/10.1007/s11573-023-01138-8 https://dlib.phenikaa-uni.edu.vn/handle/PNK/8474 en application/pdf Springer
institution Digital Phenikaa
collection Digital Phenikaa
language English
topic CAT
Forecasting accuracy
spellingShingle CAT
Forecasting accuracy
Tobias, Götze
Marc, Gürtler
Eileen, Witowski
Forecasting accuracy of machine learning and linear regression evidence from the secondary CAT bond market
description CC bY
format Book
author Tobias, Götze
Marc, Gürtler
Eileen, Witowski
author_facet Tobias, Götze
Marc, Gürtler
Eileen, Witowski
author_sort Tobias, Götze
title Forecasting accuracy of machine learning and linear regression evidence from the secondary CAT bond market
title_short Forecasting accuracy of machine learning and linear regression evidence from the secondary CAT bond market
title_full Forecasting accuracy of machine learning and linear regression evidence from the secondary CAT bond market
title_fullStr Forecasting accuracy of machine learning and linear regression evidence from the secondary CAT bond market
title_full_unstemmed Forecasting accuracy of machine learning and linear regression evidence from the secondary CAT bond market
title_sort forecasting accuracy of machine learning and linear regression evidence from the secondary cat bond market
publisher Springer
publishDate 2023
url https://link.springer.com/article/10.1007/s11573-023-01138-8
https://dlib.phenikaa-uni.edu.vn/handle/PNK/8474
_version_ 1772331157640183808
score 8.881002

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