The forecasting efficiency of the dynamic Nelson Siegel model on credit default swaps
Year of publication: |
2014
|
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Authors: | Shaw, Frances ; Murphy, Finbarr ; O'Brien, Fergal |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 30.2014, p. 348-368
|
Subject: | Term structure of credit default swaps | Nelson Siegel | Forecasting | Theorie | Theory | Kreditderivat | Credit derivative | Prognoseverfahren | Forecasting model | Zinsstruktur | Yield curve | Kreditrisiko | Credit risk | Swap |
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