Journal article 742 views 331 downloads
Are CDS spreads predictable? An analysis of linear and non-linear forecasting models
Davide Avino 
,
Ogonna Nneji
,
Ogonna Nneji
International Review of Financial Analysis, Volume: 34, Pages: 262 - 274
Swansea University Author:
Davide Avino
-
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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...
| Published in: | International Review of Financial Analysis |
|---|---|
| Published: |
2014
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| 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. |
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| College: |
Faculty of Humanities and Social Sciences |
| Start Page: |
262 |
| End Page: |
274 |