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What is Predicting Credit Default Swap Spreads about?

This paper aims to forecast 5-year Credit Default Swap spreads using multiple models that incorporate a wide range of explanatory variables. It develops and compares ten individual forecasting models, including some that use new variable reduction techniques. It also combines the forecasts from the ten models and finds that this combined forecast model outperforms benchmarks in multiple evaluation measures. Further, simple trading strategies based on the combined model

Author

hawk91

Language

EN