Are CDS spreads predictable? : an analysis of linear and non-linear forecasting models
Davide Avino; Ogonna Nneji
| Year of publication: |
2014
|
|---|---|
| Authors: | Avino, Davide ; Nneji, Ogonna |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 34.2014, p. 262-274
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| Subject: | Credit default swap spreads | iTraxx | Forecasting | Markov switching | Market efficiency | Technical trading rules | Kreditderivat | Credit derivative | Prognoseverfahren | Forecasting model | Kreditrisiko | Credit risk | Markov-Kette | Markov chain | Effizienzmarkthypothese | Efficient market hypothesis | Börsenkurs | Share price | Zinsstruktur | Yield curve | Schätzung | Estimation | Finanzanalyse | Financial analysis | Kapitaleinkommen | Capital income |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010529033