Forecasting Asian credit default swap spreads: A comparison of multi-regime models

© Springer International Publishing AG 2017. This paper aims to explore the best forecasting model for predicting the Credit Default Swap (CDS) index spreads in emerging markets Asia by comparing the forecasting performance between the multi-regime models. We apply threshold, Markov switching, Marko...

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Bibliographic Details
Main Authors: Khiewngamdee C., Yamaka W., Sriboonchitta S.
Format: Book Series
Published: 2017
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012890916&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/40742
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Institution: Chiang Mai University