Fundamentals, real-time uncertainty and CDS index spreads

Review of Quantitative Finance and Accounting · 2023 · PMC10090737

Europe PMC

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marginally significantno p-value reported

To reduce the effect of noise from uninformative predictors on the forecast RMSE, we repeat the forecasting exercise, this time retaining only those macroeconomic predictors that have delivered at least a marginally significant RMSE reduction as indicated by the CW test statistic; the last two columns in Panels A and B, Table 7 report the results.

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