Forecasting Spreads on Emerging-Markets Debt Using Credit Default Swaps - A Kalman Filter Approach
- Topics:
- Investment and Capital Markets
- Source:
- HEC Lausanne
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Overview: The present paper has two objectives. First, to look at the issue of forecasting emerging market bond spreads and to cast some light on the possible explanatory factors of the bond spreads. In particular, the paper attempts to evaluate the relative contribution of the Kalman filter technique as a forecasting tool.
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Format: PDF | Size: 603KB | Date: Nov 2002 | Pages: 71
