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Asymmetric Smooth Transition in Cds Spreads: Evidence From Latvia

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dc.contributor.author Akdoğan, Ece Ceylan
dc.date.accessioned 2020-05-15T23:37:40Z
dc.date.available 2020-05-15T23:37:40Z
dc.date.issued 2019
dc.identifier.citation Akdoğan, E.C.,"Asymmetric Smooth Transition in Cds Spreads: Evidence From Latvia",Academy of Accounting and Financial Studies Journal, Vol. 23, No. 3, pp. 7, (2019). tr_TR
dc.identifier.issn 10963685
dc.identifier.uri http://hdl.handle.net/20.500.12416/3872
dc.description.abstract This paper investigates the predictability of CDS premiums and thus addresses weak form informational efficiency of CDS markets through examining the statistical properties of Latvian CDS spreads in-between 01:2006-08:2017 by concentrating on stationarity issues. The findings for the Augmented Dickey Fuller test fail to reject the presence of unit root indicating that the CDS market is weak form efficient while nonlinear tests of Kapatenios, Snell and Shin, and Sollis claim the opposite, demonstrating a smooth transition in general, and asymmetric smooth transition in particular. Additionally, the results of Perron and Zivot-Andrews tests identify no structural break as well for robustness. These results underline the necessity of accounting for nonlinearities in CDS premiums to grasp the predictability dynamics better. tr_TR
dc.language.iso eng tr_TR
dc.publisher Allied Business Academies tr_TR
dc.rights info:eu-repo/semantics/closedAccess tr_TR
dc.subject CDS Spread tr_TR
dc.subject Market Efficiency tr_TR
dc.subject Asymmetry tr_TR
dc.subject Smooth Transition tr_TR
dc.subject Stationarity tr_TR
dc.title Asymmetric Smooth Transition in Cds Spreads: Evidence From Latvia tr_TR
dc.type article tr_TR
dc.relation.journal Academy of Accounting and Financial Studies Journal tr_TR
dc.contributor.authorID 17735 tr_TR
dc.identifier.volume 23 tr_TR
dc.identifier.issue 3 tr_TR
dc.identifier.startpage 7 tr_TR
dc.contributor.department Çankaya Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Bankacılık ve Finans Bölümü tr_TR


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