Replication Package for "Density Forecasting for Sparse and Synchronized CDS Trade Arrivals: A Shifted-NB2 Hurdle Model"

This replication package accompanies the manuscript “Density Forecasting for Sparse and Synchronized CDS Trade Arrivals: A Shifted-NB2 Hurdle Model.” It contains analysis and data-preparation code, environment and seed records, variable definitions, source-file checksums, non-reconstructive derived analytical outputs, supporting-information tables, and supplementary figures. The package implements deterministic entity resolution, strict backward as-of joins for macroeconomic controls, balanced issuer–interval panel construction, fixed-window rolling forecast evaluation, calibration and ranking diagnostics, robustness analysis, and recovery simulation. Raw DTCC and ICE dissemination records are not redistributed. Researchers may reacquire the public source reports directly from the providers, subject to their applicable terms. The archived downloader, manifests, entity crosswalks, and preprocessing code document the reacquisition and reconstruction procedures. Software and executable code are licensed under the MIT License. Non-restricted derived data, documentation, tables, and figures are licensed under Creative Commons Attribution 4.0 International.