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Are CDS spreads predictable? An analysis of linear and non-linear forecasting models / Davide Avino, Ogonna Nneji

International Review of Financial Analysis, Volume: 34, Pages: 262 - 274

Swansea University Author: Davide Avino

DOI (Published version): 10.1016/j.irfa.2014.04.001

Abstract

We assess the statistical and economic performance of various forecasting models to predict the future values of the iTraxx index. We find that linear models outperform non-linear models out-of-sample. Some trading strategies based on forecasts generated by the linear models deliver positive Sharpe...

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Published in: International Review of Financial Analysis
Published: 2014
URI: https://cronfa.swan.ac.uk/Record/cronfa21590
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Abstract: We assess the statistical and economic performance of various forecasting models to predict the future values of the iTraxx index. We find that linear models outperform non-linear models out-of-sample. Some trading strategies based on forecasts generated by the linear models deliver positive Sharpe ratios.
College: School of Management
Start Page: 262
End Page: 274