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dc.contributor.authorChatchai Khiewngamdeeen_US
dc.contributor.authorWoraphon Yamakaen_US
dc.contributor.authorSongsak Sriboonchittaen_US
dc.description.abstract© 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, Markov switching GARCH and simple least squares for structural and autoregressive modeling. Both in- and out-of-sample forecasts are conducted to compare the forecasting performance between models. The results suggest that Markov switching GARCH(1,1) structural model presents the best performance in predicting Asian Credit Default Swap (CDS) index spreads. We also check the preciseness of our selected model by employing the robustness test.en_US
dc.subjectComputer Scienceen_US
dc.titleForecasting Asian credit default swap spreads: A comparison of multi-regime modelsen_US
dc.typeBook Seriesen_US
article.title.sourcetitleStudies in Computational Intelligenceen_US
article.volume692en_US Mai Universityen_US
Appears in Collections:CMUL: Journal Articles

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