Volume: 2018

Issue: 02

Author(s):

Renáta Géczi-Papp

Article title:

Presentation and Testing of the Creeping Trend with Harmonic Weights Method in the Light of Sovereign CDS Prices

Journal:

Theory, Methodology, Practice

Pages:

25-37

Keywords:

Credit Default Swap, forecast, creeping trend with harmonic weights, sovereign CDS

JEL-code:

B4, C53, E47, F37

DOI:

10.18096/TMP.2018.02.03

Abstract:

The prediction of financial indicators is not easy, as the influencing factors may change from time to time. The sovereign credit default swap (CDS) spread is a complex measure which helps evaluate country risk, and there are a number of quantitative and qualitative criteria that may have an impact on the price development. The study aims to present and test a relatively new method. Forecasting based on the creeping trend with harmonic weights allows us to manage independent variables that are not constant in time. The study presents the method and illustrates its effectiveness through an empirical example, using the Hungarian and German five-year USD denominated quarterly CDS spreads.

Bibtex entry

{
@ARTICLE { TMP201802-25,
AUTHOR = {Renáta Géczi-Papp},
TITLE = {Presentation and Testing of the Creeping Trend with Harmonic Weights Method in the Light of Sovereign CDS Prices}
JOURNAL = {Theory, Methodology, Practice},
VOLUME = {14},
NUMBER = {02},
PAGES = {25-37},
YEAR = {2018}
}

License:

CC-BY
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