Fundamentals, real-time uncertainty and CDS index spreads (2023)
Journal Article
Audzeyeva, A., & Wang, X. (2023). Fundamentals, real-time uncertainty and CDS index spreads. Review of Quantitative Finance and Accounting, 61(1), 1-33. https://doi.org/10.1007/s11156-023-01127-6

The high level of economic uncertainty linked to the pace of the recovery process can persist after a crisis and has implications for the market pricing of firms’ credit risk reflected in credit default swap (CDS) spreads. This paper examines the rol... Read More about Fundamentals, real-time uncertainty and CDS index spreads.

On the predictability of emerging market sovereign credit spreads (2018)
Journal Article
Audzeyeva. (2018). On the predictability of emerging market sovereign credit spreads. Journal of International Money and Finance, 140 - 157. https://doi.org/10.1016/j.jimonfin.2018.07.005

This paper examines the quarter-ahead out-of-sample predictability of Brazil, Mexico, the Philippines and Turkey credit spreads before and after the Lehman Brothers’ default. A model based on the country-specific credit spread curve factors predicts... Read More about On the predictability of emerging market sovereign credit spreads.

On the Prediction of Emerging Market Sovereign Credit Spreads (2015)
Journal Article
Audzeyeva, A., & Fuertes, A. (2015). On the Prediction of Emerging Market Sovereign Credit Spreads. https://doi.org/10.2139/ssrn.2649216

This paper examines the quarter-ahead out-of-sample predictability of Brazil, Mexico, the Philippines and Turkey credit spreads before and after the Lehman Brothers' default. A model based on the country-specific credit spread curve factors predicts... Read More about On the Prediction of Emerging Market Sovereign Credit Spreads.