Forecasting CDS Term Structure Based on Nelson-Siegel Model and Machine Learning.
Won Joong KimGunho JungSun-Yong ChoiPublished in: Complex. (2020)
Keyphrases
- machine learning
- hierarchical structure
- probabilistic model
- prediction model
- neural network
- computational model
- em algorithm
- supervised learning
- prior knowledge
- probability distribution
- natural language processing
- maximum likelihood
- high level
- mathematical model
- short term
- experimental data
- feature selection
- neural network model
- learning algorithm