ABSTRACT
This paper investigates the forecasting performance for credit default swap (CDS) spreads by Support Vector Machines (SVM), Group Method of Data Handling (GMDH), Long Short-Term Memory (LSTM) and Markov switching autoregression (MSA) for daily CDS spreads of the 513 leading US companies, in the period 2009-2020. The goal of this study is to test the forecasting performance of these methods before and during the Covid-19 pandemic and to check whether there are changes in the market efficiency. MSA outperforms all other methods most frequently. GMDH breaks the efficient market hypothesis more frequently (75%) than other methods. The change of the relative predictability during Covid-19 is small with some increase of the advantage of the investigated methods over a benchmark. We find that the market has been less efficient during Covid-19, however, there are no huge differences in prediction performances before and during the Covid-19 period.
ABSTRACT
The authors would like to make the following corrections to the published paper [...]
ABSTRACT
The present study investigated whether the crypto market is a safe haven. The study argues that during the first wave of the COVID-19 crisis, gold and oil, as typical global commodities, could have been diversifiers. The study developed a unique COVID-19 global composite index that measures COVID-19 pandemic time-variant movements on each day. The study used OLS (ordinary least squares), quantile, and robust regressions to check whether the COVID-19 crisis has had any significant direct influence on the crypto market. The OLS, quantile, and robust regressions estimates confirmed that there was no statistically significant direct influence of the COVID-19 crisis on the crypto market in the first wave period. However, the study found spillovers from risky assets (SAndP 500) on the crypto market, with Tether as an exception. Due to this special characteristic, Tether might present a safe haven within the crypto market.
ABSTRACT
A wide diversity of zoonotic viruses that are capable of overcoming host range barriers facilitate the emergence of new potentially pandemic viruses in the human population. When faced with a new virus that is rapidly emerging in the human population, we have a limited knowledge base to work with. The pandemic invasion of the new SARS-CoV-2 virus in 2019 provided a unique possibility to quickly learn more about the pathogenesis of respiratory viruses. In this review, the impact of pandemics on the circulation of seasonal respiratory viruses is considered. The emergence of novel respiratory viruses has often been accompanied by the disappearance of existing circulating strains. Some issues arising from the spread of pandemic viruses and underlying the choices of a strategy to fight the coronavirus infection are discussed.