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Forecasting Investment-Grade Credit-Spreads. A Regularized Approach

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  • Thiago De Oliveira Souza

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File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/103693/1/2011-037-DEOLIVEIRASOUZA-forecasting.pdf
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Paper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers ECARES with number ECARES 2011-037.

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Length: 16 p.
Date of creation: Nov 2011
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Publication status: Published by:
Handle: RePEc:eca:wpaper:2013/103693

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  1. Allan Timmermann & Andrew Patton, 2004. "Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity," Working Papers wp04-05, Warwick Business School, Finance Group.
  2. John Y. Campbell & Glen B. Taksler, 2002. "Equity Volatility and Corporate Bond Yields," NBER Working Papers 8961, National Bureau of Economic Research, Inc.
  3. Diebold, Francis X. & Li, Canlin, 2006. "Forecasting the term structure of government bond yields," Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February.
  4. Krishnan, C.N.V. & Ritchken, Peter H. & Thomson, James B., 2010. "Predicting credit spreads," Journal of Financial Intermediation, Elsevier, vol. 19(4), pages 529-563, October.
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