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Are CDS spreads predictable? An analysis of linear and non-linear forecasting models

Davide Avino Orcid Logo, Ogonna Nneji

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

Swansea University Author: Davide Avino Orcid Logo

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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first_indexed 2015-05-20T02:03:32Z
last_indexed 2020-07-15T12:35:58Z
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spelling 2020-07-15T11:47:26.0261263 v2 21590 2015-05-19 Are CDS spreads predictable? An analysis of linear and non-linear forecasting models 3d6ddd8aed8a2b08573445a9d2ec2469 0000-0002-5314-2067 Davide Avino Davide Avino true false 2015-05-19 BAF 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. Journal Article International Review of Financial Analysis 34 262 274 2 5 2014 2014-05-02 10.1016/j.irfa.2014.04.001 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2020-07-15T11:47:26.0261263 2015-05-19T20:59:39.2474988 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Davide Avino 0000-0002-5314-2067 1 Ogonna Nneji 2 0021590-18122015100442.pdf AvinoNnejiAreCDSSpreadsPredictablePostPrint.pdf 2015-12-18T10:04:42.4470000 Output 1137857 application/pdf Accepted Manuscript true 2015-12-18T00:00:00.0000000 false
title Are CDS spreads predictable? An analysis of linear and non-linear forecasting models
spellingShingle Are CDS spreads predictable? An analysis of linear and non-linear forecasting models
Davide Avino
title_short Are CDS spreads predictable? An analysis of linear and non-linear forecasting models
title_full Are CDS spreads predictable? An analysis of linear and non-linear forecasting models
title_fullStr Are CDS spreads predictable? An analysis of linear and non-linear forecasting models
title_full_unstemmed Are CDS spreads predictable? An analysis of linear and non-linear forecasting models
title_sort Are CDS spreads predictable? An analysis of linear and non-linear forecasting models
author_id_str_mv 3d6ddd8aed8a2b08573445a9d2ec2469
author_id_fullname_str_mv 3d6ddd8aed8a2b08573445a9d2ec2469_***_Davide Avino
author Davide Avino
author2 Davide Avino
Ogonna Nneji
format Journal article
container_title International Review of Financial Analysis
container_volume 34
container_start_page 262
publishDate 2014
institution Swansea University
doi_str_mv 10.1016/j.irfa.2014.04.001
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
document_store_str 1
active_str 0
description 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.
published_date 2014-05-02T03:25:38Z
_version_ 1763750904884887552
score 11.036334

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