Forecasting sovereign CDS VOLATILITY : a comparison of univariate GARCH-class models
par Saker Sabkha, par Christian de Peretti, par Sabrine Mallek
| Year of publication: |
2020
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|---|---|
| Authors: | Sabkha, Saker ; Peretti, Christian de ; Mallek, Sabrine |
| Published in: |
Vie & sciences de l'entreprise : VSE ; la revue de l'Association Nationale des Docteurs ès Sciences Economiques et en Sciences de Gestion. - Rueil-Malmaison : ANDESE, ISSN 2262-5321, ZDB-ID 2672297-5. - Vol. 209.2020, p. 27-56
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| Subject: | CDS volatility | Predictability | Forecasting models | Loss functions criteria | Prognoseverfahren | Forecasting model | Kreditderivat | Credit derivative | Volatilität | Volatility | ARCH-Modell | ARCH model | Theorie | Theory | Kreditrisiko | Credit risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Zusammenfassung in französischer Sprache |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013188545