## Abstract This paper explores the ability of factor models to predict the dynamics of US and UK interest rate swap spreads within a linear and a nonβlinear framework. We reject linearity for the US and UK swap spreads in favour of a regimeβswitching smooth transition vector autoregressive (STVAR)
β¦ LIBER β¦
Are CDS spreads predictable? An analysis of linear and non-linear forecasting models
β Scribed by Avino, Davide; Nneji, Ogonna
- Book ID
- 122110742
- Publisher
- Elsevier Science
- Year
- 2014
- Tongue
- English
- Weight
- 457 KB
- Volume
- 34
- Category
- Article
- ISSN
- 1057-5219
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Forecasting interest rate swap spreads u
β
Ilias Lekkos; Costas Milas; Theodore Panagiotidis
π
Article
π
2007
π
John Wiley and Sons
π
English
β 259 KB
π 1 views
PREDICTABILITY ANALYSIS OF SO2 TIME SERI
β
V. LAPENNA; M. MACCHIATO; C. COSMI; M. RAGOSTA; C. SERIO
π
Article
π
1996
π
John Wiley and Sons
π
English
β 763 KB
Sulphur dioxide daily concentration time series recorded at four stations in Ravenna (Italy) during the period 1981-1990 have been analysed. The predictability of these series has been evaluated using two possible forecasting approaches: the global autoregressive approximation and the local autoregr
An Analysis of Non-Compact Non-Linear Mo
β
Morozumi, T.; Nojiri, S.
π
Article
π
1986
π
Institute of Pure and Applied Physics
π
English
β 459 KB
Are international stock returns predicta
β
Matthew Q. McPherson; Joseph Palardy
π
Article
π
2007
π
Elsevier Science
π
English
β 180 KB
Forecasting volatility of emerging stock
β
Suleyman Gokcan
π
Article
π
2000
π
John Wiley and Sons
π
English
β 99 KB
π 1 views
Genetic multi-model composite forecast f
β
Marcos Γlvarez-DΓaz; Alberto Γlvarez
π
Article
π
2005
π
Springer-Verlag
π
English
β 437 KB