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

Renáta Géczi-Papp ()
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Renáta Géczi-Papp: Universiity of Miskolc

Theory Methodology Practice (TMP), 2018, vol. 14, issue 02, 25-37

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.

Keywords: Credit Default Swap; forecast; creeping trend with harmonic weights; sovereign CDS (search for similar items in EconPapers)
JEL-codes: B4 C53 E47 F37 (search for similar items in EconPapers)
Date: 2018
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