There have been 128 defaults among U.S. CDS reference entities between 2001 and 2020. Within this sample, the five-year CDS spread is a significant predictor of corporate default in models with equity market covariates and firm attributes. This finding holds for forecast horizons up to 12...

Using two market-view variables, namely the regulatory forbearance fraction imbedded in the bank capital and the market-valued of the bank equity-to-assets ratio, derived from market equity and total liabilities from listed commercial banks in the U.S. and three countries (Japan, China, India)...

In this paper, we investigate whether the forecasted crude oil prices from the Survey of Professional Forecasters conducted by the European Central Bank contain information for the Brent crude oil return volatility predictions. With a variety of GARCH-Mixed Data Sampling, i.e., GARCH-MIDAS...

In this paper, we investigate whether the forecasted crude oil prices from the Survey of Professional Forecasters conducted by the European Central Bank contain information for the Brent crude oil return volatility predictions. With a variety of GARCH-Mixed Data Sampling, i.e., GARCH-MIDAS...