Forecasting sovereign CDS volatility: A comparison of univariate GARCH-class models
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DOI: 10.3917/vse.209.0027
Note: View the original document on HAL open archive server: https://hal.science/hal-01769390
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References listed on IDEAS
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More about this item
Keywords
CDS volatility; Predictability; Forecasting models; Loss functions criteria 1;All these keywords.
JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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