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X-WR-CALDESC:Events for CREST
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TZID:Europe/Paris
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DTSTART:20190331T010000
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DTSTART:20191027T010000
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DTSTART;TZID=Europe/Paris:20190521T103000
DTEND;TZID=Europe/Paris:20190521T113000
DTSTAMP:20260713T083056
CREATED:20190509T110719Z
LAST-MODIFIED:20190509T110719Z
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SUMMARY:Jérémy Fouliard (LBS) - "Answering the Queen : online machine learning and financial crises"\, joint work with Hélène Rey (LBS)
DESCRIPTION:\nThe Stats-Machine Learning-Econometrics Seminar.\nTime: 10:30 am – 11:30 am\nDate: 21st of May 2019\nPlace: Room 3001.\nJérémy Fouliard (LBS) – “Answering the Queen : online machine learning and financial crises”\, joint work with Hélène Rey (LBS) \nAbstract: Predicting systemic financial crises has been elusive. It is however a key input for macroprudential policy. We consider the framework of sequential predictions\, also called  online machine learning\,   to predict systemic financial crises in a panel of 7 countries. Since there is no consensus on the origins of financial crises\, we optimally aggregate a class of reference forecasters using 4 types of aggregation rules. We can predict crisis periods 3 years in advance out-of-sample with remarkable accuracy. We report for each country the subset of variables that appear the most frequently in our best forecasting models. \n\n\n\nSponsors:\nCREST\n\n\n
URL:https://crest.science/event/jeremy-fouliard-lbs-answering-the-queen-online-machine-learning-and-financial-crises-joint-work-with-helene-rey-lbs/
LOCATION:ENSAE Paris\, 5\, avenue Henry Le Chatelier\, 91120 Palaiseau\, France
CATEGORIES:Economics,Statistics
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