No Cover Image

Journal article 443 views 181 downloads

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...

Full description

Published in: International Review of Financial Analysis
Published: 2014
URI: https://cronfa.swan.ac.uk/Record/cronfa21590
Tags: Add Tag
No Tags, Be the first to tag this record!
first_indexed 2015-05-20T02:03:32Z
last_indexed 2020-07-15T12:35:58Z
id cronfa21590
recordtype SURis
fullrecord <?xml version="1.0"?><rfc1807><datestamp>2020-07-15T11:47:26.0261263</datestamp><bib-version>v2</bib-version><id>21590</id><entry>2015-05-19</entry><title>Are CDS spreads predictable? An analysis of linear and non-linear forecasting models</title><swanseaauthors><author><sid>3d6ddd8aed8a2b08573445a9d2ec2469</sid><ORCID>0000-0002-5314-2067</ORCID><firstname>Davide</firstname><surname>Avino</surname><name>Davide Avino</name><active>true</active><ethesisStudent>false</ethesisStudent></author></swanseaauthors><date>2015-05-19</date><deptcode>BAF</deptcode><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.</abstract><type>Journal Article</type><journal>International Review of Financial Analysis</journal><volume>34</volume><paginationStart>262</paginationStart><paginationEnd>274</paginationEnd><publisher/><keywords/><publishedDay>2</publishedDay><publishedMonth>5</publishedMonth><publishedYear>2014</publishedYear><publishedDate>2014-05-02</publishedDate><doi>10.1016/j.irfa.2014.04.001</doi><url/><notes/><college>COLLEGE NANME</college><department>Accounting and Finance</department><CollegeCode>COLLEGE CODE</CollegeCode><DepartmentCode>BAF</DepartmentCode><institution>Swansea University</institution><apcterm/><lastEdited>2020-07-15T11:47:26.0261263</lastEdited><Created>2015-05-19T20:59:39.2474988</Created><path><level id="1">School of Management</level><level id="2">Accounting and Finance</level></path><authors><author><firstname>Davide</firstname><surname>Avino</surname><orcid>0000-0002-5314-2067</orcid><order>1</order></author><author><firstname>Ogonna</firstname><surname>Nneji</surname><order>2</order></author></authors><documents><document><filename>0021590-18122015100442.pdf</filename><originalFilename>AvinoNnejiAreCDSSpreadsPredictablePostPrint.pdf</originalFilename><uploaded>2015-12-18T10:04:42.4470000</uploaded><type>Output</type><contentLength>1137857</contentLength><contentType>application/pdf</contentType><version>Accepted Manuscript</version><cronfaStatus>true</cronfaStatus><embargoDate>2015-12-18T00:00:00.0000000</embargoDate><copyrightCorrect>false</copyrightCorrect></document></documents><OutputDurs/></rfc1807>
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 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 School of Management
hierarchytype
hierarchy_top_id schoolofmanagement
hierarchy_top_title School of Management
hierarchy_parent_id schoolofmanagement
hierarchy_parent_title School of Management
department_str Accounting and Finance{{{_:::_}}}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 2014-05-02T03:34:35Z
_version_ 1717913177979617280
score 10.84607