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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| Main Authors: | , , |
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| Format: | Book Series |
| Published: |
2017
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| 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 |