A stacking ensemble with mutual information feature selection predicts monthly credit spreads with a reported test set R2 of 0.92 on 2008-2017 data.
The determinants of credit spread changes
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A Novel Methodology in Credit Spread Prediction Based on Ensemble Learning and Feature Selection
A stacking ensemble with mutual information feature selection predicts monthly credit spreads with a reported test set R2 of 0.92 on 2008-2017 data.