Fig. 2 | Review of Quantitative Finance and Accounting

Fig. 2

From: The predictive strength of MBS yield spreads during asset bubbles

Fig. 2

MBS downgrade decision trees for full sample (a), AAA (b) and excluding AAA (c). Notes: Each ellipse shaped body in the tree hierarchy is its Node. Every Node is numbered and the closer it is to the top of the tree, its root, the more classi_cation value it typically contains. Trees are pruned with penalty parameter obtained for corresponding testing sub-sample. Therefore, gaps in the Node numbers are due to the tree pruning process. Nodes at the very bottom of the tree are often referred to as tree terminal Nodes. N-Down denotes not downgraded MBS outcomes, while Y-Down denotes downgraded MBS outcomes

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