𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Forecasting US recessions with various risk factors and dynamic probit models

✍ Scribed by Eric C.Y. Ng

Book ID
118475532
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
401 KB
Volume
34
Category
Article
ISSN
0164-0704

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Forecasting interest rate swap spreads u
Forecasting interest rate swap spreads using domestic and international risk factors: evidence from linear and non-linear models
✍ Ilias Lekkos; Costas Milas; Theodore Panagiotidis πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 259 KB πŸ‘ 1 views

## 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 non‐linear framework. We reject linearity for the US and UK swap spreads in favour of a regime‐switching smooth transition vector autoregressive (STVAR)