Forecasting accuracy of machine learning and linear regression evidence from the secondary CAT bond market
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| Định dạng: | Sách |
| Ngôn ngữ: | English |
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Springer
2023
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| Truy cập trực tuyến: | https://link.springer.com/article/10.1007/s11573-023-01138-8 https://dlib.phenikaa-uni.edu.vn/handle/PNK/8474 |
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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 |