The forecasting efficiency of the dynamic Nelson Siegel model on credit default swaps
Author:
Publisher
Elsevier BV
Subject
Finance,Business, Management and Accounting (miscellaneous)
Reference17 articles.
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1. Relación dinámica entre los Credit Default Swaps y la deuda pública. Análisis en el contexto latinoamericano;Cuadernos de Economía;2021-08-06
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3. Estimating Loss Given Default from CDS under Weak Identification*;Journal of Financial Econometrics;2020-06-26
4. Dynamic credit default swap curves in a network topology;Quantitative Finance;2019-03-15
5. The Changing Shape of Sovereign Default Intensities;Contributions to Statistics;2019
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