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Brummelhuis, Raymond and Luo, Zhongmin (2019) CDS proxy construction via machine learning techniques part I: methodology and results. Journal of Financial Data Science 1 (2), pp. 111-127. ISSN 2640-3943.
Brummelhuis, Raymond and Luo, Zhongmin (2019) CDS proxy construction via machine learning techniques part II: parametrization, correlation, benchmarking. Journal of Financial Data Science 1 (2), pp. 128-151. ISSN 2640-3943.