Search

Current filters:

Current filters:

Author

Subject

Date issued

Has File(s)

Search Results

Results 1-1 of 1 (Search time: 0.0 seconds).
  • <<
  • 1
  • >>
    • Forecasting accuracy of machine learning and linear regression evidence from the secondary CAT bond market
    Authors: Tobias, Götze; Marc, Gürtler; Eileen, Witowski;  Advisor: -;  Co-Author: - (2023)

    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-o...