Toward robust early-warning models: a horse race, ensembles and model uncertainty

DOI10.1080/14697688.2017.1357972zbMath1402.91984arXiv1501.04682OpenAlexW3124999132MaRDI QIDQ4555200

Peter Sarlin, Markus Holopainen

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.04682

zbMATH Keywords

model uncertaintyfinancial stabilityensembleshorse raceearly-warning models

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Related Items (2)

Proper measures of connectedness ⋮ Early warning systems for currency crises with real-time data

Uses Software

• R
• MASS (R)
• ElemStatLearn
• bootstrap

Cites Work

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