Title
Empirical models for secondary market debt prices
Publication Date
1-1-1998
Publication Name
Applied Economics Letters
Volume
5
Issue
6
First Page
393
Last Page
395
Source Full Text URL
https://doi.org/10.1080/135048598354780
Document Type
Article
DOI
10.1080/135048598354780
Abstract
This paper extends earlier research regarding predictability of secondary market prices for sovereign debt certificates issued by developing countries. Due to the existence of a thinly traded market subject to potential outliers, parameter estimation is accomplished by means of a least absolute deviations methodology. Simulation results are compared with previously published forecasts where model coefficients were generated via three-stage least squares. Both methodologies appear to be useful and combined forecasts may prove helpful in situations where neither technique dominates.
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