Forecasting sovereign CDS spreads with a regime-switching combination method
Jianping Li, Qianqian Feng, Jun Hao, Xiaolei Sun
| Year of publication: |
2024
|
|---|---|
| Authors: | Li, Jianping ; Feng, Qianqian ; Hao, Jun ; Sun, Xiaolei |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 43.2024, 8, p. 3089-3103
|
| Subject: | combination forecasting | mutual information | regime-switching | sovereign CDS | Kreditderivat | Credit derivative | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | Kreditrisiko | Credit risk | Zinsstruktur | Yield curve | Öffentliche Anleihe | Public bond | Länderrisiko | Country risk |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3174 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015110602