Team Members: Baris Yazici, Yavuz Kaan Celep, Shudesh Thiru
Framework: We estimate Dynamic Correlations using DCC & GJR-GARCH and train a DeepAR model with multiple time series to forecast correlations for any two company in the LAC region.
Contents: This repository contains our team's documents created for the Practitioners Challenge 2024 at the London School of Economics in partnership with IDB Invest. We present a methodology and a corresponding model for forecasting credit default correlations for the Latin American and Caribbean region.
