Avino, Davide; Nneji, Ogonna - In: International Review of Financial Analysis 34 (2014) C, pp. 262-274
This paper investigates the forecasting performance for CDS spreads of both linear and non-linear models by analysing the iTraxx Europe index during the financial crisis period which began in mid-2007. The statistical and economic significance of the models' forecasts are evaluated by employing...