Forecasting sovereign CDS VOLATILITY : a comparison of univariate GARCH-class models
Year of publication: |
2020
|
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Authors: | Sabkha, Saker ; Peretti, Christian de ; Mallek, Sabrine |
Published in: |
Vie & sciences de l'entreprise : VSE ; la revue de l'Association Nationale des Docteurs ès Sciences Economiques et en Sciences de Gestion. - Rueil-Malmaison : ANDESE, ISSN 2262-5321, ZDB-ID 2672297-5. - Vol. 209.2020, p. 27-56
|
Subject: | CDS volatility | Predictability | Forecasting models | Loss functions criteria | Theorie | Theory | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Kreditderivat | Credit derivative | ARCH-Modell | ARCH model |
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